RE: st: RE: Robust instrumental variable regression

[Jan Bryla <JBR@finansraadet.dk>]

Thanks for that, Maarten - was not aware of this distinction in rreg :-) 

Apologies to Ramiro...

Jan Bryla
The Danish Bankers Association


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Maarten buis
Sent: 14. januar 2011 13:41
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: RE: Robust instrumental variable regression

--- Ramiro H. Gálvez asked:
> I am using stata 11 and I'm having problems with outliers
> in a 2SLS instrumental variable regression. Is there any
> implementation in stata equivalent to rreg for
> instrumental variable regression (like rivregress)?

--- On Fri, 14/1/11, Jan Bryla answered:
> > Could using the vce(robust) option when performing
> > -ivregress- potentially solve you problem?

No, -vce(robust)- is robust in a very different sense than
-rreg-. When thinking of robust in terms of -rreg- you
worry about the effect of outliers on the point estimates.
Robust in the sense of -vce(robust)- has to do with the
influence of deviations from model assumption on the 
standard error. 

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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