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


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
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 18:17:24 +0100 (BST)

The manuals certainly explain why a cluster-robust test differs from one
that is not cluster-robust.  As well as the User's Guide, there are
discussions in the programming manual and under various estimation
commands (notably -regress-).

--Mark

> 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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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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