Hi there,

What distribution are the p-values based off of when an OLS regression of y on 1,x1,...,xk is conducted, using the robust command? How about the p-values for a test of multiple exclusion restrictions post estimation using the robust command?

I would assume for the former that the p-values would be based on a standard normal since the robust standard errors are only robust asymptotically and the t-distributed random variable is asymptotically standard normal.

Thanks!