Heteroscedasticity and robust standard errors

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Joined: Sat Apr 07, 2018 3:08 pm

Heteroscedasticity and robust standard errors

Post by IB123456 » Mon Apr 23, 2018 8:25 am


I was wondering whether there was a way to implement the calculation of robust standard errors when using MCMC in MLwiN?

Thank you,

Posts: 102
Joined: Fri May 21, 2010 1:21 pm

Re: Heteroscedasticity and robust standard errors

Post by billb » Tue Apr 24, 2018 10:48 am

I am not sure precisely what model and what robust ses you refer to here. Generally in MCMC one would look at credible intervals if one wanted to get confidence intervals that are not restricted to normality so perhaps just use them.

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