RE: st: robust covariance conditional Xs (say, for a population) : how to add

[Cameron McIntosh <cnm100@hotmail.com>]

Generally, one has to wonder how useful it is to have robust standard errors for biased estimates (due to misspecification):
Freedman, D.A. (2006). On the So-Called "Huber Sandwich Estimator" and "Robust Standard Errors". The American Statistician, 60(4), 299-302. 
Cam
> From: sandorl@gmail.com
> Date: Fri, 28 Oct 2011 14:47:59 -0400
> Subject: st: robust covariance conditional Xs (say, for a population) : how to add
> To: statalist@hsphsun2.harvard.edu
> 
> 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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