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st: RE: Joint F test in the panel data when cluster option used


From   "Alice(Libo) Sun" <libosun@mail.utexas.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Joint F test in the panel data when cluster option used
Date   Thu, 15 Sep 2005 10:49:02 -0500

I have searched google and did not find much infomation. 
I would appreciate any suggestion on how to find out the right answer.

Thank you,

Alice





-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Alice(Libo)
Sun
Sent: Wednesday, September 14, 2005 10:44 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: Joint F test in the panel data when cluster option used


Dear Statalist,

I have a question regarding joint F tests for a panel data. Stata gives me
different F tests if I add/drop cluster(ID) option.I wonder which one is
correct. Does it vary to which model I use, OLS, ordered probit, logit?

Appreciate your suggesion.

The following is my example:

The panel dataset contains 50 firms over 10 years. I run the following
regression:

"
  regress Y X1 x2 x3 x4, cluster(firmID)

  test x2 x3
"

Stata gives me result for F(2,49).

Is that the wrong joint F test?

If I drop cluster() option and run the above regression and tests, stata
gives me F(2,495).
Is that the right one?


I tried ordered probit model for the panel data, stats gives me different
chi2(2) with or without cluster() added.

Thank you,

Alice  Sun



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