Re: st: Statistical tests under heteroskedasticity

["Airey, David C" <david.airey@vanderbilt.edu>]

.

I think it is important (for people like me) to remember to tack on to the end of this correct statement:

(1) provided the model for the expectations (means, for linear regression) is approximately correct, and
(2) provided the sample size is large enough

The vce(robust) option is not going to help a poor model, or a model missing important covariates.

If desired, Stata provides more conservative robust options (vce(hc3)) for linear regression with smaller samples.

> <>
> 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


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