Re: [Gretl-users] RE Probit --robust
Am 22.04.2016 um 12:41 schrieb Jan Tille:
Dear all,
I tried to estimate a random effects probit model using the --robust
option. After this, I re-estimated the model without it.
I got the same results (i.e. standard errors) in both cases and looking
at the output it became clear why, because Gretl said that estimation
was “…based on inverse Hessian”.
However, I found this post from 2013, where Sven Schreiber already
commented on this issue.
http://lists.wfu.edu/pipermail/gretl-devel/2013-December/004835.html
As time goes by....
However, I did not find an answer to this post, which brings me to my
question, is it possible use robust standard errors when one estimates a
random effects probit model in Gretl.
I don't think so. In the meantime I would repeat my Dec 2013 statement
that gretl should issue a warning, so that users don't think they have
actually estimated with robust standard errors.
Thanks for reminding.
By “robust” I mean robust to some form of unspecified misspecification,
like one checks the robust option, when using ols.
That is neither true for probit (with or without panel structure) nor
for OLS. If you're relying on robust standard errors as a cure for
unspecified misspec then you're cheating yourself (well, and your readers).
thanks,
sven