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st: Re: F-test on fixed effects


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: F-test on fixed effects
Date   Wed, 11 May 2005 07:14:52 -0400

webuse grunfeld,clear
areg invest mvalue, a(company) robust
scalar rss1 = e(rss)
scalar dfr = e(df_r)
scalar dfa = e(df_a)
regress invest mvalue, robust
scalar rss2 = e(rss)
scalar fstat = ((rss2-rss1)/dfa)/(rss1/dfr)
di "Resid SS with dummies " rss1
di "Resid SS without dummies " rss2
di "F statistic with " dfa " and " dfr " d.f. = " fstat

You can run this model with xtreg, fe and verify that it is calculating the same F-stat. Since the formula for this F depends only on residual sums of squares, and they are not modified by the use of robust s.e.'s...

You should also be able to use weights in both the models above.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html

On May 11, 2005, at 2:33 AM, France wrote:


I need to conduct an F-test to test whether the fixed effects are
jointly significant after the areg command (I use areg rather than
xtreg because I use weights and adjust the standard errors using the
robust option).

I cannot figure out how to conduct that F-test because I do not know
how to access the fixed effects estimates, Can anyone help me?
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