# 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.

168 questions
Filter by
Sorted by
Tagged with
18 views

### Heteroscedasticity-consistent standard errors: Distribution of p-values

When dealing with heteroscedastic data, OLS standard errors are biased and cannot be relied upon. Consider $x_t \sim U(0,2)$, $z_t \sim U(0,2)$, $u \sim N(0, \sqrt{x})$ and $y_t = x_t+u_t$. Now fit ...
19 views

### Correcting for Heteroscedasticity in multiple imputed datasets

I have a question regarding the homogeneity of variance in three regression models of diffrent datasets belonging to the same multiple imputed data. As I used multiple imputation I have to check ...
20 views

### What is the effect of robust estimators of covariance variance (Newey-West) on the VAR model?

What will change in VAR model if I will introduce robust estimators of covariance variance (Newey-West)? Will only the interpretations change and the properties of the model remain the same? Or maybe ...
61 views

### "Fixed effects" Cox proportional hazards model for interval censored data with strata in R

I have a large data set where some observation-periods are right censored (no event observed), others are interval censored (event observed but timing is uncertain), and some events fall into the ...
38 views

### Estimating robust variance without cluster id in survival model

I built a survival model with coxph. I have a large dataset (1 000 000 instances) and the global model is not proportional. It cannot be improved by introducing time-dependent coefficients or ...
17 views

### VAR model and robust estimators of covariance matrix

I have a VAR(2) model which has autocorrelations (since lag = 8 mostly), even when number of lags for this model are bigger. I got and advice that robust estimators of covariance matrix will help with ...
38 views

### Clustering standard errors for difference in difference

I am running a difference in difference to examine the effect of a merger on petrol prices. I am looking to see whether the prices of company A have increased due to a merger with company B. Local ...
15 views

### Test statistic for regression analysis with robust standard errors

I am looking for the test statistic for a regression analysis (using lm in R) with robust standard errors. As far as I understood the F-statistic from the original model is invalid but I was wondering ...
77 views

### Robust Variance Estimation in Bayesian Meta-analysis

BACKGROUND I am conducting a meta-analysis using the brms in R with structure akin to the following (leaving out priors, etc. ...
21 views

### comparison of two groups to confirm congruence

I am trying to quantify how well my machine (algorithm) agrees with a panel of human professionals. there is a chance that i am over complicating the situation but ill try and explain simply. 5 ...
25 views

### Robust sandwich standard errors for weighted ordinal logistic regression

Does anyone know if there's an implementation of ordinal logistic regression that takes weights and produces robust standard errors? This would be for IPW (otherwise I will fall back on bootstrapping!)...
21 views

### Robust standard errors (White) under homoscedasticity

Robust standard errors (White standard errors) are given by: $$\hat{V}(b)=(\sum_{i=1}^N x_ix_i')^{-1}(\sum_{i=1}^N e_i^2x_ix_i')(\sum_{i=1}^N x_ix_i')^{-1}$$ This helps us to estimate a asymptotic ...
63 views

32 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) =...
96 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 ...
221 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 ...