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Re: st: F-statistics missing from simple OLS regression with robust s.e.


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: F-statistics missing from simple OLS regression with robust s.e.
Date   Mon, 23 Aug 2004 12:10:53 +0100

Thi Minh,

You're estiming using -robust- and a specification with a lot of 
dummies that get dropped, so your problem might be, or be related to 
the "singleton dummy" problem that arises with the robust var-cov 
matrix when there is only a single observation that has a dummy=1.

See Vince Wiggins' very clear discussion on Statalist from last June:

http://www.stata.com/statalist/archive/2003-06/msg00646.html

Hope this helps.

--Mark

Subject:        	st: F-statistics missing from simple OLS regression with robust s.e.
Date sent:      	Mon, 23 Aug 2004 11:41:45 +0100
From:           	"Ngo,PT  (pgr)" <P.T.Ngo@lse.ac.uk>
To:             	<statalist@hsphsun2.harvard.edu>
Send reply to:  	statalist@hsphsun2.harvard.edu

> Dear Statalisters,
> 
> This is a very basic question and may be the answer is blindingly
> obvious!
> 
> I am running simple OLS regression with dummies for communes, to
> control for unobserved characteristics that may make some of my
> variables endogenous.
> 
> xi: reg riyielA2 primary counting ianulandsha2 anugood2  anubad2
> i.fsize extenworker2  marketdis2 roadimpassmonth2  electmost2
> i.comm92, rob
> 
> However, the F statistics is missing. There are 2832 observation and
> 120 communes.
> 
> Would someone have an idea as to why this is the case? I paste the
> output below.
> 
> Thanks a lot in advance,
> 
> I wish you all a very nice (and productive) summer.
> 
> Thi Minh
> 
> . xi: reg riyielA2 primary counting ianulandsha2 anugood2  anubad2
> i.fsize extenworker2  marketdis2 roadimpa > ssmonth2  electmost2
> i.comm92 if north==0, rob i.fsize           _Ifsize_1-7        
> (naturally coded; _Ifsize_1 omitted) i.comm92          _Icomm92a1-150 
>     (naturally coded; _Icomm92a1 omitted)
> 
> Regression with robust standard errors                 Number of obs =
>    1060
>                                    F( 59,   999) =       .
>                                    Prob > F      =       .
>                                    R-squared     =  0.3650
>                                    Root MSE      =  1.1907
> 
> ----------------------------------------------------------------------
> --------
>              |               Robust
>     riyielA2 |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
>     Interval]
> -------------+--------------------------------------------------------
> --------
>     primary2 |    .238943   .0814221     2.93   0.003      .079165   
>     .3987211
>    counting8 |   .1574271   .0824014     1.91   0.056    -.0042727   
>    .3191268
> ianulandsha2 |  -.1169965   .1206858    -0.97   0.333    -.3538232   
> .1198302
>     anugood2 |    .517437   .1500027     3.45   0.001     .2230805   
>     .8117935
>      anubad2 |  -.2888542   .1266844    -2.28   0.023    -.5374523  
>      -.0402562
>    _Ifsize_2 |   .0892729   .1100055     0.81   0.417    -.1265954   
>    .3051413 _Ifsize_3 |   .0219927   .1371509     0.16   0.873   
>    -.2471441    .2911295 _Ifsize_5 |   .1902934   .1482042     1.28  
>    0.199    -.1005338    .4811207 _Ifsize_6 |   .1390849    .179857   
>     0.77   0.440    -.2138559    .4920258 _Ifsize_7 |   .1529401  
>    .2521221     0.61   0.544    -.3418095    .6476897
> extenworker2 |  -1.281163   .2489915    -5.15   0.000    -1.769769  
> -.7925564
>   marketdis2 |  -.0484737   .0278609    -1.74   0.082    -.1031463   
>   .0061989
> roadimpass~2 |  -.0644231   .0211566    -3.05   0.002    -.1059395  
> -.0229066
>   electmost2 |  -.8403821   .2567902    -3.27   0.001    -1.344292  
>   -.3364721 _Icomm92a2 |  (dropped) _Icomm92a3 |  (dropped) _Icomm92a4
>   |  (dropped) _Icomm92a5 |  (dropped) _Icomm92a6 |  (dropped)
>   _Icomm92a7 |  (dropped) _Icomm92a8 |  (dropped) _Icomm92a9 | 
>   (dropped)
>  _Icomm92a10 |  (dropped)
>  _Icomm92a11 |  (dropped)
>  _Icomm92a12 |  (dropped)
>  _Icomm92a13 |  (dropped)
>  _Icomm92a14 |  (dropped)
>  _Icomm92a15 |  (dropped)
>  _Icomm92a16 |  (dropped)
>  _Icomm92a17 |  (dropped)
>  _Icomm92a18 |  (dropped)
>  _Icomm92a19 |  (dropped)
>  _Icomm92a20 |  (dropped)
>  _Icomm92a21 |  (dropped)
>  _Icomm92a22 |  (dropped)
>  _Icomm92a23 |  (dropped)
>  _Icomm92a24 |  (dropped)
>  _Icomm92a25 |  (dropped)
>  _Icomm92a26 |  (dropped)
>  _Icomm92a27 |  (dropped)
>  _Icomm92a28 |  (dropped)
>  _Icomm92a29 |  (dropped)
>  _Icomm92a30 |  (dropped)
>  _Icomm92a31 |  (dropped)
>  _Icomm92a32 |  (dropped)
>  _Icomm92a33 |  (dropped)
>  _Icomm92a34 |  (dropped)
>  _Icomm92a35 |  (dropped)
>  _Icomm92a36 |  (dropped)
>  _Icomm92a37 |  (dropped)
>  _Icomm92a38 |  (dropped)
>  _Icomm92a39 |  (dropped)
>  _Icomm92a40 |  (dropped)
>  _Icomm92a41 |  (dropped)
>  _Icomm92a42 |  (dropped)
>  _Icomm92a43 |  (dropped)
>  _Icomm92a44 |  (dropped)
>  _Icomm92a45 |  (dropped)
>  _Icomm92a46 |  (dropped)
>  _Icomm92a47 |  (dropped)
>  _Icomm92a48 |  (dropped)
>  _Icomm92a49 |  (dropped)
>  _Icomm92a50 |  (dropped)
>  _Icomm92a51 |  (dropped)
>  _Icomm92a52 |  (dropped)
>  _Icomm92a53 |  (dropped)
>  _Icomm92a54 |  (dropped)
>  _Icomm92a55 |  (dropped)
>  _Icomm92a56 |  (dropped)
>  _Icomm92a57 |  (dropped)
>  _Icomm92a58 |  (dropped)
>  _Icomm92a59 |  (dropped)
>  _Icomm92a60 |  (dropped)
>  _Icomm92a61 |  (dropped)
>  _Icomm92a62 |  (dropped)
>  _Icomm92a63 |  (dropped)
>  _Icomm92a64 |  (dropped)
>  _Icomm92a65 |  (dropped)
>  _Icomm92a66 |  (dropped)
>  _Icomm92a67 |  (dropped)
>  _Icomm92a68 |  (dropped)
>  _Icomm92a69 |  (dropped)
>  _Icomm92a70 |  -1.460631   .3615067    -4.04   0.000    -2.170031  
>  -.7512314 _Icomm92a71 |   -.484527   .3498048    -1.39   0.166   
>  -1.170963    .2019093 _Icomm92a72 |  -2.007965   .3601075    -5.58  
>  0.000    -2.714619   -1.301312 _Icomm92a73 |  -1.497574   .3387886   
>  -4.42   0.000    -2.162393   -.8327549 _Icomm92a74 |  -1.298576  
>  .4921146    -2.64   0.008    -2.264273   -.3328793 _Icomm92a75 | 
>  -.6078374   .3354461    -1.81   0.070    -1.266097    .0504223
>  _Icomm92a76 |  -1.328069    .297436    -4.47   0.000     -1.91174  
>  -.7443978 _Icomm92a77 |  -2.324027   .3811031    -6.10   0.000   
>  -3.071882   -1.576173 _Icomm92a78 |   .6342039   .3523299     1.80  
>  0.072    -.0571876    1.325596 _Icomm92a79 |    .122647   .3098287   
>   0.40   0.692    -.4853426    .7306366 _Icomm92a80 |  -1.826955   
>  .502033    -3.64   0.000    -2.812115   -.8417947 _Icomm92a81 |   
>  2.24553   .6112722     3.67   0.000     1.046006    3.445055
>  _Icomm92a82 |  -.3124623     .32691    -0.96   0.339    -.9539714   
>  .3290468 _Icomm92a83 |  (dropped) _Icomm92a84 |  -3.001611   .3966383
>     -7.57   0.000    -3.779951   -2.223272 _Icomm92a85 |   .6530298  
>  .3644332     1.79   0.073    -.0621126    1.368172 _Icomm92a86 |  
>  .9237367   1.173775     0.79   0.431     -1.37961    3.227084
>  _Icomm92a87 |  -2.307616   .3622094    -6.37   0.000    -3.018395  
>  -1.596838 _Icomm92a88 |  -2.315165   .4097308    -5.65   0.000   
>  -3.119197   -1.511134 _Icomm92a89 |  -.6401403   .5937521    -1.08  
>  0.281    -1.805285     .525004 _Icomm92a90 |  -1.120234    .216255   
>  -5.18   0.000      -1.5446   -.6958677 _Icomm92a91 |   1.148787  
>  .3368922     3.41   0.001     .4876894    1.809884 _Icomm92a92 | 
>  -2.681174   .3758231    -7.13   0.000    -3.418667   -1.943681
>  _Icomm92a93 |  -1.213704   .2861376    -4.24   0.000    -1.775204  
>  -.6522045 _Icomm92a94 |  (dropped) _Icomm92a95 |   -.402001  
>  .4638297    -0.87   0.386    -1.312193    .5081912 _Icomm92a96 | 
>  -1.396075   .3154201    -4.43   0.000    -2.015037   -.7771133
>  _Icomm92a97 |  -1.831305   .5208524    -3.52   0.000    -2.853396   
>  -.809215 _Icomm92a98 |  -.8859774   .3371676    -2.63   0.009   
>  -1.547615   -.2243394 _Icomm92a99 |      .0226   .3492935     0.06  
>  0.948    -.6628331     .708033
> _Icomm92a100 |  -1.727526   .3907112    -4.42   0.000    -2.494235  
> -.9608175 _Icomm92a101 |  -2.867931   .4041884    -7.10   0.000   
> -3.661086   -2.074775 _Icomm92a102 |   1.014971   .1786803     5.68  
> 0.000     .6643393    1.365603 _Icomm92a103 |  -.9122642   .3705058   
> -2.46   0.014    -1.639323   -.1852055 _Icomm92a104 |  -.6095209  
> .3285144    -1.86   0.064    -1.254178    .0351366 _Icomm92a105 | 
> (dropped) _Icomm92a106 |  -1.981655    .916783    -2.16   0.031   
> -3.780696   -.1826133 _Icomm92a107 |  -.8182702   .4652834    -1.76  
> 0.079    -1.731315    .0947746 _Icomm92a108 |   .2701954   .2620661   
>  1.03   0.303    -.2440678    .7844586 _Icomm92a109 |  (dropped)
> _Icomm92a110 |  -2.315845    .368142    -6.29   0.000    -3.038265  
> -1.593424 _Icomm92a111 |   -1.08883   .4851615    -2.24   0.025   
> -2.040883   -.1367774 _Icomm92a112 |  -.4807054   .2603527    -1.85  
> 0.065    -.9916062    .0301954 _Icomm92a113 |   .2966488   .2331108   
>  1.27   0.203    -.1607941    .7540918 _Icomm92a114 |   -.668567  
> .3286473    -2.03   0.042    -1.313485   -.0236489 _Icomm92a115 | 
> -1.695834   .3529889    -4.80   0.000    -2.388518   -1.003149
> _Icomm92a116 |   .0644237   .2550064     0.25   0.801     -.435986   
> .5648333 _Icomm92a117 |   -1.23573   .2507658    -4.93   0.000   
> -1.727818   -.7436422 _Icomm92a118 |  (dropped) _Icomm92a119 | 
> -.9733886   .4326162    -2.25   0.025    -1.822329   -.1244478
> _Icomm92a120 |  -2.048157    .271183    -7.55   0.000    -2.580311  
> -1.516004 _Icomm92a121 |  (dropped) _Icomm92a122 |  (dropped)
> _Icomm92a123 |  (dropped) _Icomm92a124 |  (dropped) _Icomm92a125 | 
> (dropped) _Icomm92a126 |  (dropped) _Icomm92a127 |  (dropped)
> _Icomm92a128 |  (dropped) _Icomm92a129 |  (dropped) _Icomm92a130 | 
> (dropped) _Icomm92a131 |  (dropped) _Icomm92a132 |  (dropped)
> _Icomm92a133 |  (dropped) _Icomm92a134 |  (dropped) _Icomm92a135 | 
> (dropped) _Icomm92a136 |  (dropped) _Icomm92a137 |  (dropped)
> _Icomm92a138 |  (dropped) _Icomm92a139 |  (dropped) _Icomm92a140 | 
> (dropped) _Icomm92a141 |  (dropped) _Icomm92a142 |  (dropped)
> _Icomm92a143 |  (dropped) _Icomm92a144 |  (dropped) _Icomm92a145 | 
> (dropped) _Icomm92a146 |  (dropped) _Icomm92a147 |  (dropped)
> _Icomm92a148 |  (dropped) _Icomm92a149 |  (dropped) _Icomm92a150 | 
> (dropped)
>        _cons |   5.834788   .5632886    10.36   0.000     4.729423   
>        6.940152
> ----------------------------------------------------------------------
> -----
> 
> 
> 
> 
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
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> *   http://www.ats.ucla.edu/stat/stata/

Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert

*
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