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st: testnl p values are same as those of a coefficient


From   Kristine Watson <kristine_watson@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: testnl p values are same as those of a coefficient
Date   Mon, 1 Aug 2005 20:40:40 -0700 (PDT)

Hello.  I have a quick question. I'm running a fixed
effect regression with an AR(1) process.  I was
surprised by some of my test results.  Testnl gave the
exact same p value for my test as for one of the
coefficients included in the test.  Using xtregar in
Stata8SE, I find the t stat and p value for variable
A. I then run testnl A/(1-B-C).  The p values for A
and the test were the same (to the 3rd decimal point).
  Using nlcom, I found they have different coefficient
estimates - so I believe the test is specified
correctly.  This issue isn't pervasive in my testing,
but did arise more than once.  Has anyone ever seen
anything like this?  Is it anything to worry about? 
If it matters, two lags of the dependent variable are
in the model.
 
My code and output is below if that helps.  
 
Many thanks for your time - Kristine
 
 
.xtregar percent logsize entire lagperc lag2 maxcg
hq_pi inc_pi, fe
 
FE (within) regression with AR(1) disturbances  Number
of obs      =     18018
Group variable (i): mgrno                       Number
of groups   =      1199
 
R-sq:  within  = 0.8117                         
Obs per group: min = 1       
between = 0.9288                                      
 avg = 15.0          overall = 0.8367                 
                      max =  21                       
                         F(8,16811)         =  
9061.29
corr(u_i, Xb)  = 0.8229                         
Prob > F           =    0.0000
 
------------------------------------------------------------------------------
     percent |      Coef.   Std. Err.      t    P>|t| 
   
-------------+----------------------------------------------------------------
     sz|   .0139895   .0012666    11.04   0.000     
     ent|   1.046695   .0636388    16.45   0.000      
     lag1|     .07843   .0068122    11.51   0.000     
      lag2|    .361661   .0067388    53.67   0.000    

      max|   -2.79592   .2133297   -13.11   0.000    
      A|  -.0030597   .0070038    -0.44   0.662    
      B|  -.0195817   .0049677    -3.94   0.000    
      two|  -.0037839   .0042401    -0.89   0.372    
       _cons |   .0130677   .0013891     9.41   0.000 
   

 
 .testnl ( _b[A]/[1-_b[lag1]-_b[lag2]] = 0)
  (1)  _b[A]/[1-_b[lag1]-_b[lag2]] = 0
 
           F(1, 16811) =        0.19
              Prob > F =        0.6622


		
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