On Mon, 24 Nov 2014, Ignacio Diaz-Emparanza wrote: > This is a question whose response I don't find in the manuals: when you > estimate with OLS with the "robust standar errors" tickmarck active (for > example with HC3), I see the robust estimations of the coef. standard errors, > but where do the pvalues come from? are they from the normal (asymptotic) > distribution or are > they from a student-t ? and the pvalue of the F-statistic is from a F or a > chi-square distribution?
This needs documenting. At present the default is that such statistics are referred to the student-t and F distributions. However, there's a fairly new "set" variable named "robust_z" and if you do set robust_z on they will be referred to the normal and chi-square distributions. Allin Cottrell
