See Q&A below:
****
I still don't understand what fails means. I have original values and
contaminated values. I know I need to look at the coefficients, but what does
it mean when the coefficient estimates are not within +- 2 standard errors of
the true values? I see that my standard error terms (in the contaminated
group) are more than twice the original standard errors. Is this what the
question is regerring to? If not, what key am I missing?
****
Not exactly. Start with the original data generating process you use.
Regress to show that you recover the coefficients you used to generate the
data. Then contaminate the data. Regress again. Be sure that your data
are sufficiently contaminated. By "sufficiently", I mean that the
coefficients from the second regression (on the contaminated data) are
outside of the interval defined by [the value you used to generate the
data] +- 2SD's. The SD's will come from the first estimation you
performed. The SD's from the contaminated regression aren't the
quantities of interest in this question.
Let me know if that's not clear!
Ryan
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