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How to do robust standard errors in regression?

I have found several pages on the web about calculating robust standard errors (and running the related White test or Breusch-Pagan test) in Stata and other packages. Does anybody know how to do these things in Mathematica?

I would expect to find these things in a regression package, but I think this package was merged into the LinearModelFit and NonlinearModelFit functions, and I am not finding anything about robust standard errors in the documentation for these functions. There is a little bit about how to do some of it 'by hand' in the documentation of LinearModelFit (under Applications).

Thanks,

OL.

POSTED BY: Otto Linsuain
2 Replies

Hello Simon,

Thanks for providing the link. Sorry I took long in replying. Work has kept me away from the site.

OL.

POSTED BY: Otto Linsuain

Cross Validated is a question and answer site for people interested in statistics, machine learning, data analysis, data mining, and data visualization. It's 100% free, no registration required.

http://stats.stackexchange.com/questions/47490/what-if-results-from-a-breusch-pagan-test-for-heteroscedasticity-contradicts-tho

POSTED BY: Simon Cadrin
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