Uploaded March 2021 | Updated September 2026, 2 weeks ago
This video provides a demonstration of how to generate robust standard errors and test statistics for regression estimates when performing linear regression in Stata. In particular, I demonstrate how to request the HC3 estimator for the standard errors, which can be a useful way of dealing with the potential biasing effects of heteroskedasticity on standard errors and test statistics.
A copy of the data can be downloaded here: drive.google.com/file/d/1OlDLZKljb2ITgQ3X6Lmjz9WX3V-RSVMI/view
Here is the link to the website containing a copy of the article by Hayes and Cai (2007): link.springer.com/article/10.3758/BF03192961
More details on regression commands can be found in the Stata manual for regression:
stata.com/manuals/rregress.pdf
This video provides a demonstration of how to generate robust standard errors and test statistics for regression estimates when performing linear regression in Stata. In particular, I demonstrate how to request the HC3 estimator for the standard errors, which can be a useful way of dealing with the potential biasing effects of heteroskedasticity on standard errors and test statistics.
A copy of the data can be downloaded here: drive.google.com/file/d/1OlDLZKljb2ITgQ3X6Lmjz9WX3V-RSVMI/view
Here is the link to the website containing a copy of the article by Hayes and Cai (2007): link.springer.com/article/10.3758/BF03192961
More details on regression commands can be found in the Stata manual for regression:
stata.com/manuals/rregress.pdf
