ResearchBox #6145 - 'DataColada 133 - Heterofriendly'

When I taught my first PhD-level methods course, I invited students to submit questions about any topic in statistics or methodology. Six out of 10 students asked about the same topic: robust & clustered standard errors. It's clearly a topic they found both important and confusing. Psychologists basically never use robust standard errors. But they always should. If have never heard of robust SEs, this post is especially (rather than not) relevant for you. Economists basically always use robust standard errors. But I suspect intuitive understanding lags behind adoption. If you are robust SE user but don't have an intuition for why robust errors can be (much) smaller than classical ones, this post is still relevant for you.