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st: Why no sum of squared residuals in reg output after robust or cluster?


From   dbdewalq@uchicago.edu
To   statalist@hsphsun2.harvard.edu
Subject   st: Why no sum of squared residuals in reg output after robust or cluster?
Date   Wed, 3 Mar 2004 20:41:44 -0600

This is probably easy, but I have been wondering...
When you add the comand robust or cluster after the regression you don't get in
the regression output the information about the explained sum of squares, the
residual sum of squares and the total sum of squares, information that you
usually get if you perform regress without the robust or the cluster command.
Why is it so?
Is it that the residual sum of square is not reliable when you correct for
heteroscedasticity with the Huber/White/Sandwich estimator, or if you cluster
the standard errors?
But then, how is the R-square (whch is reported, but not the adjusted one)
calculated?

Thanks,

Damien

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