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From |
SamL <saml@demog.berkeley.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Why no sum of squared residuals in reg output after robustor cluster? |

Date |
Fri, 5 Mar 2004 08:08:53 -0800 (PST) |

Am I the only person saddened by this blatant rip-off of statacorp? And from a person employed at a religious institution, no less? Anyone have any ideas how stata can prevent this from happening and thus preserve the wonderful model of a company they are? Sign me, Despite appearances, there is *no* sarcasm in my voice, Sam On Fri, 5 Mar 2004, Richard Williams wrote: > At 08:41 PM 3/3/2004 -0600, dbdewalq@uchicago.edu wrote: > >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? > > This is a good chance to try out my scanner and optical character > recognition software. Here is what the manual says: > > From p. 337, Stata 8 Reference Manual N-R (from the documentation for the > regress command): > > Technical Note > > When you specify robust, regress purposefully suppresses displaying the > ANOVA table, as it is no longer appropriate in a statistical sense even > though, mechanically, the numbers would be unchanged. That is, sums of > squares remain unchanged, but the meaning you might be tempted to give > those sums is no longer relevant. The F statistic, for instance, is no > longer based on sums of squares; it becomes a Wald test based on the > robustly estimated variance matrix. Nevertheless, regress continues to > report the R^2 and the root MSE even though both numbers are based on sums > of squares and are, strictly speaking, irrelevant. In this, the root MSE is > more in violation of the spirit of the robust estimator than is R^2. As a > goodness-of-fit statistic, R^2 is still fine; just do not use it in > formulas to obtain F statistics because those formulas no longer apply. The > Root MSE is valid as long as you take its name literally - it is the square > root of the mean square error. Root MSE is no longer a prediction of sigma > because there is no single sigma; the variance of the residual varies > observation by observation. > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Why no sum of squared residuals in reg output after robust or cluster?***From:*Richard Williams <Richard.A.Williams.5@nd.edu>

**References**:**Re: st: Why no sum of squared residuals in reg output after robust or cluster?***From:*Richard Williams <Richard.A.Williams.5@nd.edu>

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