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
"Feiveson, Alan H. (JSC-SK311)" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
RE: st: RE: Robust instrumental variable regression
Date
Fri, 14 Jan 2011 11:27:31 -0600
Nick - I guess I didn't state my question clearly. My question had nothing to do with the merits (or lack of) of -rreg-. What I was asking is whether 2SLS has been found to gives reasonable estimates of parameters in an IV setting when some form of robust regression was used in each stage, whether that be -rreg-, median regression, or anything else.
Al
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Nick Cox
Sent: Friday, January 14, 2011 10:35 AM
To: '[email protected]'
Subject: RE: st: RE: Robust instrumental variable regression
In addition to other comments, I'd advise against basing anything much on -rreg-.
The help file has it right: -rreg- is "one version of robust regression". When -rreg- was written the method seemed a good all-round flavour of robust regression, but it is doubtful whether it now looks like _the_ method of choice to anyone in 2011.
If you ever used -rreg- for real, you'd be obliged to explain it and defend the choice in any serious forum.
"I used robust regression" means virtually nothing. There are probably hundreds of ways to do robust regression (quite apart from what robustness means).
"I used -rreg- as implemented in Stata" counts for little outside this community.
"I used robust regression as codified by Li (1985)" obliges you to explain why you didn't use something more recent (to fad- and fashion-followers) or something else that someone else fancies for some reason of their own. The literature would keep you busy indefinitely.
Li, G. 1985. Robust regression. In Exploring Data Tables, Trends, and Shapes, ed. D. C. Hoaglin, F. Mosteller, and
J. W. Tukey, 281-340. New York: Wiley.
Outliers could be handled in many different ways. Considering transformations on one or more variables is another way to do that. Wonder whether a linear structure makes sense scientifically is yet another.
Nick
[email protected]
Maarten buis
--- 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.
*
* 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/