Re: [Gretl-users] Wish-list: How about having robust standard error as the default on the GUI check box, etc.

On Sat, 30 Mar 2019, John C Frain wrote: > On Fri, 29 Mar 2019 at 02:54, Fred Engst <engst.uibe(a)gmail.com&gt; wrote: > >> While we are on the topic of wish-list, >> 1. Why can’t we make the robust standard error as the default on the >> GUI check box? >> Is there any situation in which a robust standard error will be biased and >> wrong? >> By having the default being robust, those that insist on having the >> homoskedastic standard errors reported can uncheck the check box. > > I would think that it is better to not have the robust standard error as > default. I would ask one to always first estimate the equation assuming > that the variance was homoskedastic. Then one should test for > homoskedasticity. If heteroskedasticity is found one should then consider > if the model was misspecified. (It is possible that other specification > tests also fail). If you are satisfied that the model is properly > specified you could then use the robust standard error. I agree with John on this. However, anyone who disagrees is free to select the option "Use robust covariance by default", under the HCCME tab in /Tools/Preferences/General.