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st: robust covariance conditional Xs (say, for a population) : how to add
From
László Sándor <[email protected]>
To
[email protected]
Subject
st: robust covariance conditional Xs (say, for a population) : how to add
Date
Fri, 28 Oct 2011 14:47:59 -0400
Hi,
I have access to Stata 12 (for unix). I am convinced by Guido Imbens's
arguments that in some cases I investigate a conditional version of
the Huber-White standard errors would be more appropriate (and, yes,
admittedly: smaller) than the normal asymptotics. What is a good way
to use the modification for as many models as possible? Or I can only
modify one estimator at a time, say, regress.ado? Or can I get it into
all -vce- options across the board? It would also make sense for some
margins and thus marginsplot…
The paper is here: http://www.nber.org/confer/2011/LSf11/summary.html
Thanks,
Laszlo
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