Re: [Gretl-users] RE Probit --robust
Am 22.04.2016 um 15:20 schrieb Jan Tille:
Jack, thank you for the script. Meanwhile, I have estimated the re
probit. As the LR test (rho=0) could not be rejected, I switched to a
pooled specification, where robust standard errors are available.
Comparing the results, they look quite similar.
What you do is probably reasonable. However, the LR test is based on
assumptions that you subsequently discard by insisting on robust
standard errors. So it could be a little bit self-contradictory.
cheers,
sven