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Re: st: Missing F and Prob F after robust option


From   rgutierrez@stata.com (Roberto G. Gutierrez, StataCorp.)
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Missing F and Prob F after robust option
Date   Mon, 01 Jul 2002 07:37:57 -0500

Joel E. Pike <jpike@bus.wisc.edu> asks the following question, which has
also since turned up in a related form:

> 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.

Type

   . help j_robustsingular

or from a Window-ed Stata simply click on the missing F-test (which should be
blue in this case) for an explanation.  Basically, you probably have a
singularity in the estimated variance/covariance matrix which makes an overall
test a tricky thing.  See the help file for an elaboration on this.

--Bobby
rgutierrez@stata.com
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