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Re: st: Statistical tests under heteroskedasticity


From   Christopher Baum <[email protected]>
To   "[email protected]" <[email protected]>
Subject   Re: st: Statistical tests under heteroskedasticity
Date   Tue, 15 May 2012 09:15:30 -0400

<>
On May 15, 2012, at 2:33 AM, Lukas wrote:

> I use Stata 11.2 and I want to run several statistical tests to analyse my regression results. In my regression, I use the -robust- option but now I became aware, that heteroskedasticity invalidates my statistical tests such as hypothesis tests as well. 
> 
> Is there a way to run the -ttest- and -testparm- commands under heteroskedasticity without invalidating their results?

Calculating robust standard errors -- or more properly, a robust VCE -- 'robustifies' all computations done with that VCE, including t-tests and F-tests. So if the only departure from i.i.d. errors is heteroskedasticity, the 'robust' option makes all subsequent test, testparm, lincom, etc. valid.

Kit


Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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