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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32 views

Correcting for robust/clustered standard errors within the lm function or replacing the results

Cross posted on Stackoverflow with a bounty of 200. EDIT: I think I have to clarify this question a little bit more. So what I am looking for, is a function in which I can provide both the vcov matrix ...
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22 views

Robust standard errors under overlapping observations: confusing simulation results from alternative methods

I have a time series of $h$-step-ahead forecasts $\hat{y}_{t+h|t}$ for $t=1,\dots,T-h$ with $h>1$. I also have the corresponding realized values of their targets $y_{t+h}$ and the corresponding ...
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17 views

Standard error for panel data models and heteroscedastic robust SE

There is something I do not understand on a deeper level on standard errors for panel data models. I know the reason for not using usual heteroscedastic-robust standard-errors is because of auto ...
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1answer
35 views

Heteroskedasticity-Robust Standard Errors in Median Regressions

Does anyone know how to compute heteroskedasticity-robust standard errors in median regressions in R? Assume the following example: ...
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48 views

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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57 views

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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2answers
85 views

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 ...
3
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1answer
78 views

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 ...
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62 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 ...
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30 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-...
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1answer
192 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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14 views

Scale factor for trimmed standard deviations?

For normally distributed data, what is the scale factor of a trimmed standard deviation? For instance, let's say we have a normal distribution with $\sigma = 1$. If we remove the top and bottom $t<...
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1answer
74 views

Robust SE clustered GLM Gamma Log Link to match GEE Robust SE

How do I get the robust standard errors/sandwich variance estimators for GLM using a Gamma family with a log-link to match the robust standard errors from the GEE output? ...
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1answer
46 views

Test for weak instruments in Stata when using VCE robust [closed]

does anyone know how I can test for weak instruments (one instrument, just identified model) after 2SLS regression in Stata when using robust standard errors (VCE robust)?
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11 views

Adjusting p values when doing several comparisons between nested linear models

I have a linear model (in R) like this one (all variables are continous): mod0 <- lm_robust(DV ~ IV1 + IV2 + IV3 + IV4, data = df) (DV is stage of acquisition ...
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27 views

Sandwich estimators, robust standard errors

I'm using R for modeling linear regression for prediction. Residuals do not met regression assumptions of homoscedasticity, therefore using library(lmtest) and library("sandwich") I've ...
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69 views

How to use HAC errors in VAR model

I would like to use the Newey-West method for the standard errors in a VAR(p)-model (I use statsmodels.tsa.vector_ar). The VAR(p)-model assumes that the residuals ...
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31 views

Adjusting standard errors for *both* heteroskedasticity and clusters in MATLAB?

My data is not exactly a panel, so I can't use the Panel Data Toolbox. It is over time (years) but not for the same industries. For example I have multiple rows with same industry in one year, and ...
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54 views

Why do heteroscedasticity-robust standard errors in logistic regression?

I am following a course on R. At the moment, we are working with logistic regression. The basic form we are taught is this one: ...
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36 views

Driscoll kraay estimator and R squared

I am doing a panel data regression with Driscoll-Kraay standard errors. Do my R-squared and adjusted R-squared stay the same when using Driscoll-Kraay standard errors?
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1answer
60 views

Power analysis for cluster-robust regression

I am planning to run a regression for the model of the form: $y = \beta_0 + \beta_1x_1 + \beta_2x_2 + \beta_3x_1x_2 + \epsilon$ To determine the necessary sample size, I would usually use R's ...
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26 views

Why different regression result with real and excess return as the dependent variable?

I want to test how granted patent, R&D & their ratio predicts real & excess market return. I am doing 2 robust linear regressions: \begin{align} \text{Real Return} \left( t + 1 \right) =...
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45 views

Does the sigma-clipped variance/standard-deviation count as a robust estimator of scale?

Robust estimators of scale, such as the median absolute deviation (MAD) and so on, are less affected by outliers than something like the basic standard deviation/variance. Firstly, is there a specific ...
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1answer
119 views

Robust Variance in Stata and R?

There are already a lot of good questions on this topic (e.g., here). But they address complexities that I am not interested in. I have some simple data. I am using basic GLM and OLS, with robust ...
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30 views

SE of tobit goes to infinity if I include time trend variable (year variable)

I'm dealing with some data that is restricted to unmarried women with two or more children to find out if a tax policy affects their annual hours of work. But, pretty much different from my ...
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21 views

Model Comparison Tests with Bootstrapped Models

I've found myself in a catch-22 of wanting to conduct model comparison tests (like the Likelihood Ratio Test) but having to accommodate non-normal data. I know the LR test is invalid with Robust ...
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57 views

My simple regression is homoscedastic - should I use robust standard errors or both?

I've been asked to estimate the following simple regression with the 'appropriate' standard errors at 5% sig level and report the results in a table: ...
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72 views

R implementation of robust variance estimator for nlme fit

For GLS/LMM models we can define robust variance estimator as $$\operatorname{Var}_{R}\left(\hat{\beta}_{W L S}\right)=\left(X^{T} \hat{V}^{-1} X\right)^{-1}\left\{X^{T} \hat{V}^{-1} \hat{V}_{0} \...
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1answer
171 views

Address unequal variance between groups before applying contrasts for a linear model? (r)

My Goal: I have an ordinal factor variable (5 levels) to which I would like to apply contrasts to test for a linear trend. However, the factor groups have heterogeneity of variance. What I've done: ...
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134 views

Trouble interpreting GARCH output in R

I am trying to write a model involving stock returns and for it I ran a fGARCH model. The code used is: ...
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0answers
43 views

generating Heteroskedasticity- & autocorrelation-consistent (HAC) standard errors for mixed effects (LMER) models [closed]

Is there a package/code for generating robust Heteroskedasticity- and autocorrelation-consistent (HAC) standard errors for mixed-effects models (specifically lmer models) in R? I am aware of vcovHA, ...
3
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0answers
32 views

Robust regression for autocorrelation and heteroskedasticity - coefficients do not change, only standard errors change?

When using Newey-West robust standard errors to deal with heteroskedasticity and autocorrelation: http://support.sas.com/kb/40/098.html is it correct to state that the coefficients are not different ...
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0answers
19 views

Pooled panel regression with group-wise clustering by time

How can I compute t-statistics for the coefficients of the pooled panel regression model below such that I account for group-wise clustering by time? $$ Y_{it} = \alpha + \beta x_{it} + \epsilon_{it} ...
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0answers
115 views

Why do robust linear models give smaller standard errors?

I've always read and been told that for heteroskedastic errors a normal OLS fit will generate standard errors that are too small, leading to a false degree of confidence in coefficient estimates. ...
2
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1answer
33 views

Variance Estimation for Least Squares with Probability Weights

I'm running a simulation study and finding that the nominal SEs of the estimated coefficients when using weights in lm in R are an underestimate of the simulation SE. I have confirmed that $\hat{\beta}...
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41 views

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 ...
2
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0answers
95 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? ...
2
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0answers
63 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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2answers
123 views

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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1answer
151 views

Constant changes in time series model

I am estimating a time series model using OLS. The LHS variable has a downtrend across the period. There is certainly autocorrelation on both the LHS and RHS. the regression is: $us10yr = \alpha +...
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0answers
28 views

Standard error clustering: Does it depend on the variable of interest?

Suppose I am interested in whether a students age affects their performance, and I run the following regression: $performance(i) = \beta_1 age(i) + \beta_2 Female(i)+\beta_3 classsize(i)+\varepsilon(...
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1answer
67 views

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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0answers
24 views

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 ...
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1answer
198 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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0answers
28 views

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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0answers
2k views

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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0answers
76 views

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)^{-...
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1answer
303 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 ...
3
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1answer
331 views

Implement VAR model in R with HAC corrected standard errors [closed]

I have fitted a VAR model in R (with function VAR) and would like to use HAC corrected standard errors. How is that possible?
3
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1answer
910 views

When to use Newey West vs. GLS? [duplicate]

Suppose I run OLS regression and find my residuals to be autocorrelated. When should I use a procedure like Newey-West and when should I use GLS modelling, ie. specifying some ARMA structure to the ...