Economics should be open

November 2, 2009

Pitfalls of STATA robust estimation, a quick simulation study.

Filed under: Uncategorized — howardchong @ 11:50 pm

Use of “robust” after regress in Stata seems to be automatic. From the textbooks, ┬árobust is more asymptotically efficient, and there is only a small hit for not assuming homoskedasticity.

There is one problem I am encountering, and that is in small samples. If your coefficient of interest has very little variation, be careful. Especially when measuring treatment effects where you have very few or very many treated observations.



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