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RE: 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   RE: st: RE: Joint F test in the panel data when cluster option used
Date   Thu, 15 Sep 2005 11:54:12 -0500

Thanks for the suggestion. I checked and did not find information on F test
when cluster() is discussed. I checked user's guide for stata 7.0.

Any other advice?

Alice







-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Mark Schaffer
Sent: Thursday, September 15, 2005 11:07 AM
To: statalist@hsphsun2.harvard.edu
Cc: statalist@hsphsun2.harvard.edu
Subject: Re: st: RE: Joint F test in the panel data when cluster option
used


Have you read the Stata manuals?  A good place to start would be the
User's Guide entry on "Obtaining robust variance estimates".

--Mark

> 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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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: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes



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