ROBUST Subcommand (UNIANOVA command)

ROBUST displays a table of parameter estimates, along with robust or heteroskedasticity-consistent (HC) standard errors; and t statistics, significance values, and confidence intervals that use the robust standard errors.

• ROBUST enables specification of the HCCOVB keyword on the OUTFILE subcommand, saving the robust covariance matrix estimates to a new file or dataset.
• ROBUST displays a second set of output for any custom hypothesis tests that are specified on LMATRIX subcommands, with results based on the specified robust covariance matrix estimator.

Five different methods are available for the robust covariance matrix estimation. You can specify only one method. If more than one ROBUST subcommand is specified, then the last subcommand is in effect.

HC0

Based on the original asymptotic or large sample robust, empirical, or "sandwich" estimator of the covariance matrix of the parameter estimates. The middle part of the sandwich contains squared OLS (ordinary least squares) or squared weighted WLS (weighted least squares) residuals.

HC1

A finite-sample modification of HC0, multiplying it by N/(N-p), where N is the sample size and p is the number of non-redundant parameters in the model.

HC2

A modification of HC0 that involves dividing the squared residual by 1-h, where h is the leverage for the case.

HC3

A modification of HC0 that approximates a jackknife estimator. Squared residuals are divided by the square of 1-h. This method is the default if ROBUST is specified without specifying a method.

HC4

A modification of HC0 that divides the squared residuals by 1-h to a power that varies according to h, N, and p, with an upper limit of 4.