Robust Standard Errors in Small Samples: Some Practical Advice∗
نویسندگان
چکیده
In this paper we discuss the properties of confidence intervals for regression parameters based on robust standard errors. We discuss the motivation for a modification suggested by Bell and McCaffrey (2002) to improve the finite sample properties of the confidence intervals based on the conventional robust standard errors. We show that the Bell-McCaffrey modification is a natural extension of a principled approach to the Behrens-Fisher problem, and suggest a further improvement for the case with clustering. We show that these standard errors can lead to substantial improvements in coverage rates even for samples with fifty or more clusters. We recommend researchers routinely calculate the Bell-McCaffrey degrees-of-freedom adjustment to assess potential problems with conventional robust standard errors. JEL Classification: C14, C21, C52
منابع مشابه
Saturated Neural Adaptive Robust Output Feedback Control of Robot Manipulators:An Experimental Comparative Study
In this study, an observer-based tracking controller is proposed and evaluatedexperimentally to solve the trajectory tracking problem of robotic manipulators with the torque saturationin the presence of model uncertainties and external disturbances. In comparison with the state-of-the-artobserver-based controllers in the literature, this paper introduces a saturated observer-based controllerbas...
متن کاملRobust Regression Methods: Achieving Small Standard Errors When There Is Heteroscedasticity
A serious practical problem with the ordinary least squares regression estimator is that it can have a relatively large standard error when the error term is heteroscedastic, even under normality. In practical terms, power can be poor relative to other regression estimators that might be used. This article illustrates the problem and summarizes strategies for dealing with it. Included are new r...
متن کاملSport participation and Ramadan observance: Advice for the athlete
Introduction: A growing number of Muslim athletes now engage in international competition. This raises the question of the advice they should be given if a major event occurs during the month of Ramadan. Methods: A narrative review has been based upon books and extensive reviews completed by the author and other investigators. Results: Practical considerations hamper assessment of the effects o...
متن کاملPassivity-Based Stability Analysis and Robust Practical Stabilization of Nonlinear Affine Systems with Non-vanishing Perturbations
This paper presents some analyses about the robust practical stability of a class of nonlinear affine systems in the presence of non-vanishing perturbations based on the passivity concept. The given analyses confirm the robust passivity property of the perturbed nonlinear systems in a certain region. Moreover, robust control laws are designed to guarantee the practical stability of the perturbe...
متن کاملHow Robust Standard Errors Expose Methodological Problems They Do Not Fix, and What to Do About It
“Robust standard errors” are used in a vast array of scholarship to correct standard errors for model misspecification. However, when misspecification is bad enough to make classical and robust standard errors diverge, assuming that it is nevertheless not so bad as to bias everything else requires considerable optimism. And even if the optimism is warranted, settling for a misspecified model, w...
متن کامل