Robust Standard Errors in STATA

”Robust” standard errors is a technique to obtain unbiased standard errors of OLS coefficients under heteroscedasticity. In contrary to other statistical software, such as R for instance, it is rather simple to calculate robust standard errors in STATA. All you need to is add the option robust to you regression command. That is:

regress y x, robust

Below you find a working example that shows you how the option works


clear all import excel using "https://economictheoryblog.files.wordpress.com/2016/08/data.xlsx",first 

*create an interaction term 
gen interaction = lag_calories*lag_cycling 
*OLS with heteroscedasticity consistent standard errors 
regress weight lag_calories lag_cycling interaction, robust

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3 Responses to Robust Standard Errors in STATA

  1. Pingback: Robust Standard Errors in R | Economic Theory Blog

  2. Pingback: Robust Standard Errors | Economic Theory Blog

  3. Pingback: Violation of CLRM – Assumption 4.2: Consequences of Heteroscedasticity | Economic Theory Blog

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