The RATS Software Forum

Dear Tom,
I am wondering if you can tell me why we get different coefficients using robusterrors options for OLS. Is that because we run a restricted model?
Here are the results:

linreg(robusterrors) DEPENDENT sambeg samend residMod coefMod
# constant YOY%_SP500{1} BAA{2} YOY%_OIL{2} YOY%_CPI TR10Y{1} YOY%_HPI{1} TR3M YOY%_CRE UR

restrict(create) 3 residModb
#4
#1 beta3
#6
#1 beta5
#8
#1 beta7




Your model:

linreg DEPENDENT sambeg samend residMod coefMod
# constant YOY%_SP500{1} BAA{2} YOY%_OIL{2} YOY%_CPI TR10Y{1} YOY%_HPI{1} TR3M YOY%_CRE UR

restrict(create) 3 residModb
#4
#1 beta3
#6
#1 beta5
#8
#1 beta7

See

https://estima.com/forum/viewtopic.php?f=6&t=2506

So but then it means that I have to run linreg without specifying robust option, correct? But will it take care of heteroscedasticity? Thank you in advance.