Wednesday, May 8, 2013

Robust Standard Errors for Nonlinear Models

André Richter wrote to me from Germany, commenting on the reporting of robust standard errors in the context of nonlinear models such as Logit and Probit. He said he 'd been led to believe that this doesn't make much sense. I told him that I agree, and that this is another of my "pet peeves"!

Yes, I do get grumpy about some of the things I see so-called "applied econometricians" doing all of the time. For instance, see my 
Gripe of the Day post back in 2011. Sometimes I feel as if I could produce a post with that title almost every day!

Anyway, let's get back to André's point.