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Re: st: Constructing a variable from standard deviations
From
"M.P.J. van Zaal" <[email protected]>
To
[email protected]
Subject
Re: st: Constructing a variable from standard deviations
Date
Tue, 23 Nov 2010 10:41:07 +0100
Hi mr Buis,
Thank you for all your time and good advice.
In the end I went with the solution proposed by Kit and it worked
fine! Ofcourse I will give arguments in my paper why I used this
method.
I think the point you raised about assuming homoscedasticity and then
use the property of non constant variance in the next step
being "awkward" is valid. Thanks for this.
I know now that that my phrasing in my email you quoting was not
accurate. Next I will be more careful :-).
regards and thanks again,
Mathijs
----- Original Message -----
From: Maarten buis <[email protected]>
Date: Tuesday, November 23, 2010 10:26 am
Subject: Re: st: Constructing a variable from standard deviations
To: [email protected]
> --- On Mon, 22/11/10, M.P.J. van Zaal wrote:
> > However, you guys claim that the estimates from this
> > procedure would be meaningless.
>
> We did not say that. This is the solution proposed by Stas
> and I said about it: "Stas' solution works, but is
> substantively awkward". That is not the same as meaningless.
> It means that you can use it, but than you'll have to show
> in your paper why a model that assumes constant residual
> variance still gives you unbiased estimates of differences
> in residual variance across groups. The simulation I gave
> earlier shows that that is the case. If you still want to
> use Stas' solution you need address this counterintuitive
> step in your analysis. I would start by defining exactly
> what that residual variance is, and go over the exact
> definition of the residuals and their variance in linear
> regression, see what happens with those residuals in case
> of heteroskedsticity, and than try that with the variances
> that you want to estimate. Looking for proofs like that is
> a sequential process, so there is no guarantee that such
> an initial plan works, but this is how I would start.
> (Actually I would want to avoid this, and use either my
> or Kit's solution, but that does not mean that Stas'
> solution is meaningless).
>
> Hope this helps,
> Maarten
>
> --------------------------
> Maarten L. Buis
> Institut fuer Soziologie
> Universitaet Tuebingen
> Wilhelmstrasse 36
> 72074 Tuebingen
> Germany
>
> http://www.maartenbuis.nl
> --------------------------
>
>
>
>
>
>
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