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This examples seems to confirm your complaint...
*************
/*get the command */
capture copy /*
*/ http://www.polsci.org/pluemper/xtfevd.ado xtfevd.ado
di in red _rc
capture copy /*
*/ http://www.polsci.org/pluemper/xtfevd.hlp xtfevd.hlp
di in red _rc
qui{
webuse psidextract, clear
/*HT Taylor as reference */
xthtaylor lwage wks south smsa/*
*/ ms exp exp2 occ ind union fem blk ed,/*
*/ endog(exp exp2 occ ind union ed)/*
*/ constant(fem blk ed)
estimates store HT
/*xtfevd with standard se */
xtfevd lwage wks south smsa/*
*/ ms exp exp2 occ ind union fem blk ed,/*
*/ invariant(fem blk ed) s2iv_endog(ed)/*
*/ s2iv_exog(wks south smsa ms)
estimates store xtfevd
/*xtfevd with robust se */
xtfevd lwage wks south smsa/*
*/ ms exp exp2 occ ind union fem blk ed,/*
*/ invariant(fem blk ed) s2iv_endog(ed)/*
*/ s2iv_exog(wks south smsa ms) robust
estimates store xtfevdrob
/*xtfevd with robust se and depvar change */
replace lwage=lwage/100
xtfevd lwage wks south smsa/*
*/ ms exp exp2 occ ind union fem blk ed,/*
*/ invariant(fem blk ed) s2iv_endog(ed)/*
*/ s2iv_exog(wks south smsa ms) robust
estimates store xtfevdrobchan
}
estimates table HT xtfevd xtfevdrob xtfevdrobchan, /*
*/ b(%4.2fc) se(%4.2fc) t(%4.2fc) /*
*/ modelwidth(15) style(columns)
*************
HTH
Martin
-----Ursprüngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von Anders Dahl
Bakken
Gesendet: Freitag, 19. Juni 2009 15:24
An: [email protected]
Betreff: st: Robust standard errors and t-values with xtfevd
Im trying to use the robust option with xtfevd, but the problem for me is
that it seems that the t-values are
sensitive to the scale of my dependent variable. The results without the
robust option seems fine. But when i
add the robust option, all the standard errors go trough the roof, (from
maybe .3 to 50000). But here's the thing, if
a divide my dependent variable by for example 1000, my standard errors goes
down (naturally) but at the same time my t-values increases.
To me it almost seems like you can get whatever t-values you want by just
rescaling the left-hand side. As mentioned i dont have this problem
without the robust option.
Have anybody else had this problem? And what can i do to fix it`?
Anders
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