# Questions tagged [robust-standard-error]

Use this tag for questions related to any kind of robust standard error estimation, including but not limited to clusters-robust, heteroscedasticity/autocorrelation-robust, and related standard errors.

38 questions
Filter by
Sorted by
Tagged with
824 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-...
• 63.2k
71k views

### Always Report Robust (White) Standard Errors?

It has been suggested by Angrist and Pischke that Robust (i.e. robust to heteroskedasticity or unequal variances) Standard Errors are reported as a matter of course rather than testing for it. Two ...
• 8,151
69k views

### Replicating Stata's "robust" option in R

I have been trying to replicate the results of the Stata option robust in R. I have used the rlm command form the MASS package ...
• 561
21k views

### Sandwich estimator intuition

Wikipedia and the R sandwich package vignette give good information about the assumptions supporting OLS coefficient standard errors and the mathematical background of the sandwich estimators. I'm ...
• 4,548
9k views

### How to get ANOVA table with robust standard errors?

I am running a pooled OLS regression using the plm package in R. Though, my question is more about basic statistics, so I try posting it here first ;) Since my regression results yield ...
• 517
2k views

### Eicker-Huber-White Robust Variance Estimator

In a regression context, $$Y_i = \alpha + \beta T_i + \varepsilon_i$$ my textbook defines EHW robust variance estimator as  \widehat{\mathbb{V}_{\rm EHW}}(\widehat{\alpha}, \widehat{\beta} | \...
• 387
2k views

### Can robust standard errors be less than those from normal OLS?

I'm reading about Robust Standard Error Estimators for Panel Models from the developer of plm R package (Millo, 2017: 21). But my question is not about software. In ...
• 359
1k views

3k views

### Does the sandwich estimator in GEE protect against both correlation misspecification and heteroscedasticity?

The relative merits of GEE with exchangeable correlation or GEE with independence and the sandwich estimate have been discussed, but I couldn't find a post specifically addressing my question. I have ...
• 1,140
3k 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 ...
• 1,568
8k views

### How to calculate the robust standard error of predicted y from a linear regression model in R? [closed]

How can I calculate the robust standard error of the predicted y from a linear regression model in R? Any suggestion is appreciated.
5k views

### Newey-West robust standard errors for autocorrelation only (no heteroskedasticity)

May I use the Newey-West procedure when I have only autocorrelation? Or can I only use the Newey-West when I have autocorrelation and heteroscedasticity?
• 31
61 views

### Are there formal measures for classifier or regression robustness?

Are there performance measures that produce a numerical value of the robustness of a classifier or regression. By robustness I mean graceful degradation in performance to unexpected input (similar to ...
• 2,035
302 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 +...
• 68.1k
208 views

### Recommend monograph on statistical model misspecification

Is there a good book on statistical model misspecification in general? It should cover, for example, the behavior of estimators (e.g., maximum likelihood) when the specified parametric family does not ...
• 133
796 views

### How to calculate robust standard error with offset?

I think the default vcovHC in R's sandwich package does not handle offsets in Poisson models. We see this because robust (...
• 63.2k
559 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? ...
2k views

### Is delta method better than bootstrap to generate standard error for marginal effects?

I read here, here, here, here, and elsewhere that " Parametric bootstrap closely related to objective Bayes. (That’s why it’s a good importance sampling choice.) When it applies, parboot approach ...
• 585
9k views

### Clustered standard errors and robust standard errors

I was wondering if, when running a regression on panel data, clustered standard errors are already correcting for heteroskedasticity. Actually, I have run such a regression and detected ...
• 23
1 vote
68 views

### For repeated data, why we don't use just OLS with sandwich SEs but rather GLS or mixed models?

If I have repeated observations and want to summarize the means at each time point, the OLS will give me the true, raw means, while the GLS will give me means dependent on the selected covariance ...
1 vote
37 views

### Heteroscedasticity-consistent (robust) standard errors complemented by i) confidence intervals for beta, ii) Tolerance and iii) VIF values in R?

In order to solve heteroscedasticity in my data, I ran a regression with heteroscedasticity-consistent ("robust") standard errors. I would also like to report i) standardized betas together ...
• 11
1 vote
2k 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 (...
1 vote
2k views

### Wondering what type of covariance correction for standard errors is better: Hansen-Hodrick or Newey-West?

I am wondering what type of covariance correction for standard errors is better: Hansen-Hodrick or Newey-West? Also, does someone know if StatsModels package that ...
• 351
99 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 ...