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st: Reg w Clustered Std Errors and no F stat


From   "David replies soon" <eurasian29@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Reg w Clustered Std Errors and no F stat
Date   Tue, 18 Oct 2005 00:11:58 +0000

Hi Statalisters,

I've run into the situation of not getting an overall F stat when running a regression with clustered standard errors. Previous postings and Stata help say that:
1) the number of estimated coefficients must be lower than the number of clusters
2) each variable cannot have a non-zero value for just one observation

My final sample fulfils the above two.

I think the problem lies in having some of the dummy variables
corresponding to only one cluster. My data is clustered by 'case investigation' (with several observations for each case) and each case falls into a particular industry. I have industry dummy variables.

Some of these industry dummies have only one corresponding 'case investigation'. When I get rid of these 'one case' industry dummies, I get an F stat.

Can anybody explain what's going on?

Thanks,
David

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