On The So-Called “Huber Sandwich Estimator” and “Robust Standard Errors”
- 1 November 2006
- journal article
- research article
- Published by Informa UK Limited in The American Statistician
- Vol. 60 (4), 299-302
- https://doi.org/10.1198/000313006x152207
Abstract
The “Huber Sandwich Estimator” can be used to estimate the variance of the MLE when the underlying model is incorrect. If the model is nearly correct, so are the usual standard errors, and robustification is unlikely to help much. On the other hand, if the model is seriously in error, the sandwich may help on the variance side, but the parameters being estimated by the MLE are likely to be meaningless—except perhaps as descriptive statistics.Keywords
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