Re: [Gretl-users] Wish-list: How about having robust standard error as the default on the GUI check box, etc.
On Fri, 29 Mar 2019 at 02:54, Fred Engst <engst.uibe(a)gmail.com> wrote:
Thanks Allin.
It was my mistake of not recognizing the coeffsum is a restriction with
only 1 d.o.f.
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.
2. Is there any reason not to have time dummies included as the
default in a panel data regression? Those that have variables that only
change with time should uncheck the include time dummy check box.
Not ticking the box completes a one-way panel estimation of the model.
ticking the box give a two-way estimate. I think that this is the proper
way to proceed and would not be in favor of the proposal
Fred
John C Frain
3 Aranleigh Park
Rathfarnham
Dublin 14
Ireland
www.tcd.ie/Economics/staff/frainj/home.html
mailto:frainj@tcd.ie
mailto:frainj@gmail.com
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