Hi all. I've just encountered something peculiar about xtivreg (v7 and
v8.2). According to the manuals and help file,
"small specifies that t statistics should be reported instead of Z
statistics and F statistics instead of chi-squared statistics."
The peculiar thing is that the t statistics and standard errors are
numerically identical to the z statistics and SEs. Using the manual dataset,
. xtivreg ln_w age* not_smsa (tenure = union south) , fe i(idcode)
-----------------------------------------------------
ln_wage | Coef. Std. Err. z P>|z|
-------------+---------------------------------------
tenure | .2452291 .0386354 6.35 0.000
. xtivreg ln_w age* not_smsa (tenure = union south) , fe i(idcode) small
-----------------------------------------------------
ln_wage | Coef. Std. Err. t P>|t|
-------------+---------------------------------------
tenure | .2452291 .0386354 6.35 0.000
I had thought that there would be an additional degrees-of-freedom
adjustment with the -small- option, but apparently not - the only difference
is that the column heading is "t" instead of "z". Anybody have any idea why?
--Mark
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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