Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
RE: st: RE: Robust instrumental variable regression
From
Jan Bryla <[email protected]>
To
"[email protected]" <[email protected]>
Subject
RE: st: RE: Robust instrumental variable regression
Date
Fri, 14 Jan 2011 13:51:08 +0100
Thanks for that, Maarten - was not aware of this distinction in rreg :-)
Apologies to Ramiro...
Jan Bryla
The Danish Bankers Association
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Maarten buis
Sent: 14. januar 2011 13:41
To: [email protected]
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
--------------------------
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/