Robust standard errors in STATA

[Lee Wilson]

Hello,
I performed a regression and I have the problem of heteroscedasticity which is why I applied the term , robust at the end of my regression. However, I would like to understand what stata does in order to calculate the robust standard errors. Can someone provide me with the formula behind it and please not written in Matrix form. I am simply running a regression without any independent variables so I only get the constant (Yes, I am only interested in the constant and in its t-value which is why I would like to understand the standard error better). Thank you!

[Joro Kolev]

When you are doing a regression on a constant only, the robust and non-robust standard errors coincide.

[Joro Kolev]

Here:

. sysuse auto, clear
(1978 Automobile Data)

. reg price

      Source |       SS           df       MS      Number of obs   =        74
-------------+----------------------------------   F(0, 73)        =      0.00
       Model |           0         0           .   Prob > F        =         .
    Residual |   635065396        73  8699525.97   R-squared       =    0.0000
-------------+----------------------------------   Adj R-squared   =    0.0000
       Total |   635065396        73  8699525.97   Root MSE        =    2949.5

------------------------------------------------------------------------------
       price |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
       _cons |   6165.257   342.8719    17.98   0.000     5481.914      6848.6
------------------------------------------------------------------------------

. reg price, robust

Linear regression                               Number of obs     =         74
                                                F(0, 73)          =       0.00
                                                Prob > F          =          .
                                                R-squared         =     0.0000
                                                Root MSE          =     2949.5

------------------------------------------------------------------------------
             |               Robust
       price |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
       _cons |   6165.257   342.8719    17.98   0.000     5481.914      6848.6
------------------------------------------------------------------------------

[Carlo Lazzaro]

Lee:
as an aside to Joro's helpful explanation, see -_robust- entry in Stata .pdf manual.

[Lee Wilson]

Thank you!