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Re: st: Robust Regression
From
Nick Cox <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: Robust Regression
Date
Thu, 6 Mar 2014 16:09:46 +0000
I guess the short answer is No.
Oddly, or not, two distinct cultures are emerging in which "robust" in
statistical science means variously (a) robust to outliers (b)
"robust" standard errors, and not many try to do both. Indeed it's not
especially clear that the two approaches can co-exist easily.
Nick
[email protected]
On 6 March 2014 15:54, Robert Davidson <[email protected]> wrote:
> Hello Statalist,
>
> I am trying to estimate a model in Stata 13 in which the data appears
> to be heavily influenced by outliers. I have reviewed graphs,
> calculated the leverage of the variables, and reviewed the data for
> accuracy and everything points to the influence of outliers. I have
> looked into robust estimators including mmregress (Vervardi and Croux)
> and rreg to deal with this and both report similar results. The data
> is a panel though, with the same firm (my unit of observation)
> appearing in multiple years and thus the standard errors are not
> i.i.d. Does Stata have a robust estimator to deal with outliers that
> can also allow standard errors to be clustered at the unit (firm)
> level?
>
> Thank you,
> Robert Davidson
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