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st: Strange -robust- results with a dummy variable
From
"Liu Yu" <[email protected]>
To
<[email protected]>
Subject
st: Strange -robust- results with a dummy variable
Date
Fri, 21 Jan 2011 16:34:24 -0700
Dear Statalist.
I have got a weird result when I run the following two regressions. (In the
following regressions, y is a daily stock return data from 1990 to 2010, x
is the daily market return data for the same period, and d is a dummy
variable which equals 1 on Nov-10-2001 and 0 otherwise.)
The first is a simple OLS regression:
. reg y x d
----------------------------------------------------------------------------
--
y | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
x | .0237359 .03177 0.75 0.455 -.0385487
.0860204
d | -.0074946 .025867 -0.29 0.772 -.0582064
.0432172
_cons | .0007387 .0003825 1.93 0.054 -.0000112
.0014886
The second equals the first regression plus the "robust" option:
. reg y x d, robust
----------------------------------------------------------------------------
--
| Robust
y | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
x | .0237359 .0304741 0.78 0.436 -.0360082
.0834799
d | -.0074946 .000539 -13.90 0.000 -.0085514
-.0064378
_cons | .0007387 .0003834 1.93 0.054 -.0000131
.0014904
----------------------------------------------------------------------------
--
I am quite surprised by the fact that the standard error of d has decreased
significantly after I use the robust option, and its t-statistics changes
from non-significant to significant. Should I trust the results from the
second regression? Is there something special that I need to pay attention
about the dummy variable and the robust option?
Thank you all.
Catherine Liu
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