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st: Missing F and Prob F after robust option


From   "Joel E. Pike" <jpike@bus.wisc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Missing F and Prob F after robust option
Date   Fri, 28 Jun 2002 18:46:28 -0500

Statalist

Sorry if this is not an intelligent question, but I checked the manual, the user's guide, FAQ and some of the list archive, and if the answer is there I just missed it.

I am running a linear regression using Stata 7/SE on a Windows 98 O/S, testing for heteroscedasticity. which is there, predicting cooksd,  dropping outliers that exceed 4/_N, then running regress with the robust option.  When I do this, there is no F or Prob F reported.  I know that this is a Wald test with the Huber-White standard errors, but I can't find any documentation as to why this is missing.  While I think I can access  what Need to calculate this myself, I don't understand why it is missing.

Any suggestions or pointers to where to look would be much appreciated.

Code and relevant output are cut and pasted below.

Thanks.

Joel

. reg  new_abs2 ind_spec_aud_by_over ind_spec_aud_by_under ind_spec_act_by_over ind_spec_act_by_under scrutiny aud_fee_to_NPW pct_93_ibnr herf_index tax2 res_pct stock group
> rein_pct_2 mal_pct credit_pct auto_pct mult_peril__pct if final_sample==1

      Source |       SS       df       MS              Number of obs =    1382
-------------+------------------------------           F( 17,  1364) =   82.62
       Model |  2516.19906    17  148.011709           Prob > F      =  0.0000
    Residual |  2443.52322  1364  1.79143931           R-squared     =  0.5073
-------------+------------------------------           Adj R-squared =  0.5012
       Total |  4959.72228  1381  3.59139919           Root MSE      =  1.3384

<output deleted>


. hettest

Cook-Weisberg test for heteroskedasticity using fitted values of new_abs2
     Ho: Constant variance
         chi2(1)      =     11.06
         Prob > chi2  =      0.0009

. vif

<output deleted>


    Mean VIF |      1.30


. predict jp5i_outs3, cooksd

. preserve

. drop if jp5i_outs3 > 4 / _N
(25 observations deleted)

. reg  new_abs2 ind_spec_aud_by_over ind_spec_aud_by_under ind_spec_act_by_over ind_spec_act_by_under scrutiny aud_fee_to_NPW pct_93_ibnr herf_index tax2 res_pct stock group rein_pct_2 mal_pct credit_pct auto_pct mult_peril__pct if final_sample==1, robust

Regression with robust standard errors                 Number of obs =    1359
                                                       F( 16,  1341) =       .
                                                       Prob > F      =       .
                                                       R-squared     =  0.5208
                                                       Root MSE      =  1.3047

<output deleted>

. restore



*************************************************
Joel E. Pike
School of Business
University of Wisconsin
1238 Grainger Hall
975 University Avenue
Madison, WI  53706-1323
Tel: 608-265-4830
*************************************************




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