# 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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23 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 ...
23 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 ...
12 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? ...
26 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 ...
18 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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### 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 ...
11 views

### ARL0 and ARL1 EWMA control chart for simulation skewed data in R

I encounter problems when using r programming to run my code. In my study, I use robust estimator Sn,MAD, IQR and Biweight standard deviation for skewed data. In theory my ARL0 by using robust ...
17 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 ...
30 views

### Determine ARL for EWMA using R simulation for contaiminated normal distribution(gamma distribution)

I need to do simulation using R to find the ARL( EWMA control chart )for the skewed data(i use gamma distribution for this purpose. Below are my simulation for the gamma distribution of shape 0.7 ...
39 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 ...
51 views

### What is a computationally tractable way to infer statistical power in the context of OLS with robust clustered standard errors?

I have clustered data and am trying to scale up OLS with robust clustered standard errors (implemented in Python Statsmodel) as the default analytical framework going forward. It is important that I ...
25 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 ...
149 views

### Different standard errors from ivreg and ivregress 2sls commands

In stata 15, I accidentaly used the command ivreg without specifying 2sls. In the output, it declared that 2sls was being used so I proceeded. However, later when double-checking my results I used the ...
11 views

### Estimating panel-robust standard errors for a weighted 2SLS estimator

I am trying to estimate the panel-robust standard errors of a weighted 2SLS estimator. Stata can compute. However, the documentation does not really explain how. Do you know the formula or how to ...
632 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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### Assumptions of path analysis when multivariate normal distribution is violated

I'm creating my first path analysis model with lavaan (R package). The assumption of multivariate normal distribution, however, is violated. Also, in the regression M1 ~ X1 + X2 (mediator ~ exogenous ...
95 views

### Poisson approximation of a binomial model with random effects - how to get robust variance estimates

I'm interested in using a Poisson approximation for modeling a common (~40% of the time) binary outcome. But my data has some clustering in it, having come from three different sites, which suggests ...
481 views

### Explanation and formula for Modified Z-score?

I'm struggling understanding and finding a reference for Modified (robust) z-score. I found a reference that says I have to adjust by 1.25 or 1.48 depending on the value of the median absolute ...
78 views

### robust regression coefficients [duplicate]

I ran a robust regression using the rlm package but I see that p-value of the coefficients are not returned. What is the best way to test the coefficients returned from rlm for significance? I was ...
227 views

### Robust error estimation and hazard ratio with non-proportional hazards

I recall having heard that the hazard ratio, estimated in a Cox model, can be made robust against the parallel hazard functions assumption. The key to this is using a Huber-White, or Huber-Eicker-...
954 views

### Double-clustered standard errors and large panel

I have a large panel data set featuring the purchases of 5000+ individuals over 2000+ time periods (days). I am looking to estimate pooled OLS regressions featuring double-clustered standard errors (...
78 views

### Regressing adjusted-R2 on a constant

Lets say I have a panel of adjusted-R2 statistics from some regressions involving experiment / survey data. Can I regress these adjusted-R2 statistics on a constant to find the average adjusted-R2, ...
27 views

### Collaborator pushing for robust sandwich estimator - is it appropriate?

I have a dataset that is survival data for 3 different treatments, single time point data (ie: % survived at end of treatment), with an n=10*3 for each treatment. This data is non-parametric, which I ...
399 views

### How to estimate robust sandwich standard errors when estimating parameters using optim() in R?

Currently I am using numerical optimization in R via the optim() function to estimate some parameters in a complicated ...
356 views

### How to calculate sandwich standard errors for generalized least squares models?

Dependent data can be modeled using covariance structures like compound symmetry, spherical, AR-1, and other. Using generalized least squares, inference can be made on the regression coefficients ...
133 views

### Are HAC robust standard errors robust against autoregressive conditional heteroskedasticity?

Suppose I have a GARCH(p,q) model with constant conditional mean, \begin{aligned} y_t &= \mu + u_t, \\ u_t &= \sigma_t \varepsilon_t, \\ \sigma_t^2 &= \omega + \alpha_1 u_{t-1}^2 + \dotsc +...