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st: Significance values using -prais-


From   "Clive Nicholas" <[email protected]>
To   [email protected]
Subject   st: Significance values using -prais-
Date   Wed, 7 Jan 2004 03:28:33 -0000 (GMT)

All,

First of all, happy new year to all of you!

I wondered if anybody has noticed that, when using -prais-, sometimes the
output model contains t-values that clearly exceed 1.96, but yet show up
as statistically insignificant, even at p<.05 (I don't regard p<.10 as a
particularly useful benchmark for significance testing). Here's an
example, with <enp> the 'offending' variable here:

Cochrane-Orcutt AR(1) regression -- iterated estimates

Regression with robust standard errors               Number of obs =     101
                                                     F(  5,    20) =  157.58
                                                     Prob > F      =  0.0000
                                                     R-squared     =  0.4406
Number of clusters (region) = 21                     Root MSE      =  12.567

----------------------------------------------------------------------------
           |             Semi-robust
     conpc |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-----------+----------------------------------------------------------------
     tuout |   .6917606    .172949     4.00   0.001     .3309954    1.052526
    incumb |  -6.130695   3.487898    -1.76   0.094    -13.40632    1.144932
       enp |   8.906969    4.36405     2.04   0.055    -.1962795    18.01022
    celtic |  -18.91596   2.608885    -7.25   0.000      -24.358   -13.47392
     _cons |  -27.41839   16.46073    -1.67   0.111    -61.75488     6.91809
-----------+----------------------------------------------------------------
       rho |  -.0054647
----------------------------------------------------------------------------
Durbin-Watson statistic (original)    2.008198
Durbin-Watson statistic (transformed) 1.996219

Now being a bit thick, I cannot explain this; so is anybody on the list
willing and able to explain why this happens?

Thanks.

CLIVE NICHOLAS        |t: 0(44)191 222 5969
Politics Building     |e: [email protected]
School of Geography,  |f: 0(44)870 126 2421
 Politics & Sociology |
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