# Questions tagged [robust-standard-error]

Questions related to any kind of robust standard error estimation, including but not limited to clusters-robust, heteroscedasticity/autocorrelation-robust, and related standard errors.

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### How to manually inflate standard errors to approximate clustered SEs

I'm reading a handout on clustering here It's not clear to me how to compute $\rho_x$ or $\rho_\epsilon$. What is meant by within-cluster correlation of the regression, or within-cluster error ...
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### How to decide between different robust standard errors?

Specifying my model I ran into some very mild heteroscedasticity problems. Given its superior small-sample properties (my dataset contains 79 observations) I used the HC3 specification of the White ...
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### Getting understand HAC estimators

Can you help me please with understanding HAC estimator ? I've searched whole internet about it and I didn't find any page which explains clearly algorithm of HAC. I would also see some mathematical ...
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### How do we obtain p values from a robust mixed regression model in R?

I have yet to find an answer to this problem, so here goes. I am fitting a robust mixed regression model using the robustlmm package on R. Unlike the lme4 package, from which we can obtain p values ...
24 views

### Wald test / seemingly unrelated regression on models with clustered standard errors in R

I am trying to conduct a Wald test (aka seemingly unrelated regression) on multivariate models with clustered standard errors in R. This is easy to do in Stata, but I cannot figure out how to do it in ...
28 views

### In a multilinear regression, does the usage of White standard errors always correct for heteroscedasticity?

I've calculated a multilinear regression. When testing the assumptions of linear regression, I've come to understand that my model violates the assumption of homoscedasticity (as shown with a Breusch-...
59 views

### Mixed effects negative binomial with robust standard errors (Huber-white) in R

I would like to fit a random effects model in R using the negative binomial distribution and reporting robust standard errors. I was going to try using the sandwich package to compute the robust ...
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### Can I neglect the evidence of autocorrelation?

I am estimating a model based on time series, which comes from theoretical background (economic theory), and the specification is quite common in empirical literature. However, I find that estimated ...
127 views

### Lag selection for Newey-West estimation in a panel data framework with Stata

I have a panel dataset with N=21 countries and T=8 two-year periods which are mechanically correlated (2010-2011, 2011-2012, 2012-2013 and so on...). Given this structure, I thought I should have ...
79 views

### Survival analysis: Frailty vs Sandwich variance estimators

Question Can someone answer (in as non-technical terms as possible) whether or not frailty models and robust sandwich variance estimators are trying to solve the same problem in different contexts? ...
56 views

### Relationship between expected absolute deviation and standard deviation

The standard deviation of a random variable $X$, $$\sigma = \sqrt{Var[{X}]} = \sqrt{E[X^2 - E[X]^2]}$$ is a very commonly used measure of "normal" distance from the mean of $X$. A much less frequently ...
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### The statistic t for linear regression with robust standard error

I need to calculate the statistic t (without any softwares or this sort of things) for a linear regression with the robust standard errors already computed. I know that in order to get the t statistic ...
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### Correcting for bias in GEE models with small cluster size

In GEE, several methods have been proposed for correcting for bias when the cluster size is small to moderate (<40). Some have proposed alternative variance estimators, e.g. Morel, Bokossa, and ...
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### Is it a problem if cluster sizes vary wildly in a cluster-randomized experiment?

Consider a cluster-randomized experiment. There are 4,000 clusters and 2,000,000 observations. The dependent variable y is dichotomous, $Y \in \{0, 1\}$, and ...
161 views

### Heteroskedasticity-Consistent Covariance Matrix Estimation

I would like to ask about the difference between the vcovHC and vcov in R. The former is described as the Heteroskedasticity-Consistent Covariance Matrix Estimation. What is the difference between ...
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### OLS question about standard errors and Heteroscedasticity

In the case of OLS, what stops one from modelling heteroscedasticity and providing predictor dependent coefficients. So, different ranges of the predictor with their own standard errors? Is this ...
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### Stata: options vce(robust) and vce(cluster)

I have a panel of firm data and my supervisor recommended vce(cluster firmID) for clustering the standard errors. However, the ...
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### Calculating sandwich estimator

Considering design matrix $X \in \mathbb{R}^{n\times p}$ $(n>p)$ and response $y\in \mathbb{R}^{n}$. The sandwich estimator can be calculated directly using (X^TX)^{-1}X^T diag(r^2) X (X^TX)^{-...
244 views

### Robust standard errors in regression

Your task is to investigate how fertility affects labour supply. In particular, you will examine how a woman's labour supply falls when she has more than two children. Your answers should include your ...