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Re: st: RE: F statistic after a clustered regression


From   Meryle Weinstein <[email protected]>
To   [email protected]
Subject   Re: st: RE: F statistic after a clustered regression
Date   Sun, 18 Dec 2005 13:09:17 -0500

Thanks.  This is exactly what I was looking for.  

Meryle

----- Original Message -----
From: Roger Newson <[email protected]>
Date: Sunday, December 18, 2005 12:02 pm
Subject: st: RE: F statistic after a clustered regression

> Stata does not calculate an F-statistic after a clustered 
> regression because
> the clustered regression uses Huber variances, which are 
> calculated without
> assuming that the observations are independent and homoskedastic 
> (ie equally
> variable). The F-test statistic is calculated using the assumption 
> thatobservations are independent and homoskedastic, and is 
> therefore not
> appropriate for use in a clustered regression analysis. To carry out
> multi-dimensional hhypothesis tests for a clustered regression 
> model, use
> the -test- command.
> 
> I hope this helps.
> 
> Roger
> 
> --
> Roger Newson
> Lecturer in Medical Statistics
> Department of Public Health Sciences
> Division of Asthma, Allergy and Lung Biology
> King's College London
> 
> 5th Floor, Capital House
> 42 Weston Street
> London SE1 3QD
> United Kingdom
> 
> Tel: 020 7848 6648 International +44 20 7848 6648
> Fax: 020 7848 6620 International +44 20 7848 6620
>  or 020 7848 6605 International +44 20 7848 6605
> Email: [email protected]
> Website: http://phs.kcl.ac.uk/rogernewson/
> 
> Opinions expressed are those of the author, not the institution.
> 
> 
> CCarolyn Zhu wrote:
> 
> Hello listers,
> Would anybody tell me what it means when stata does not compute an F
> statistic after a clustered regression? The estimation results 
> with and
> without the cluster option are provided below.
> Thanks.
> . regress loc_fim2_nod katjanine loc_fim1 demented age1 male rand 
> nh_respaidhelp fnnondisp fndisp clin_ab_admt_dum _Isite_2 _Isite_3 
> _Isite_4      Source |       SS       df       MS              
> Number of obs =
> 464
> -------------+------------------------------           F( 14,   
> 449) =
> 18.86
>       Model |  2495.89099    14  178.277928           Prob > F    
>  =
> 0.0000
>    Residual |  4243.41074   449  9.45080342           R-squared   
>  =
> 0.3703
> -------------+------------------------------           Adj R-
> squared =
> 0.3507
>       Total |  6739.30172   463  14.5557273           Root MSE    
>  =
> 3.0742
> -------------------------------------------------------------------
> ---------
> --
> loc_fim2_nod |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
> Interval]
> -------------+-----------------------------------------------------
> ---------
> --
>   katjanine |   .0987764   .0380182     2.60   0.010     .0240608
> .1734921
> ? more estimates
>    _Isite_2 |  -.6510725   .4850485    -1.34   0.180     -1.60432
> .3021745
>    _Isite_3 |   -.671119   .5081955    -1.32   0.187    -1.669856
> .3276179
>    _Isite_4 |  -.0978212    .585194    -0.17   0.867     -1.24788
> 1.052238
>       _cons |   6.814154    1.96921     3.46   0.001     2.944142
> 10.68417
> -------------------------------------------------------------------
> ---------
> --
> . regress loc_fim2_nod katjanine loc_fim1 demented age1 male rand 
> nh_respaidhelp fnnondisp fndisp clin_ab_admt_dum _Isite_2 _Isite_3 
> _Isite_4,robust cluster(site)
> Regression with robust standard errors                 Number of 
> obs =
> 464
>                                                       F(  2,     
> 3) =
> .
>                                                       Prob > F    
>  =
> .
>                                                       R-squared   
>  =
> 0.3703
> Number of clusters (site) = 4                          Root MSE    
>  =
> 3.0742
> -------------------------------------------------------------------
> ---------
> --
>             |               Robust
> loc_fim2_nod |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
> Interval]
> -------------+-----------------------------------------------------
> ---------
> --
>   katjanine |   .0987764   .0249159     3.96   0.029     .0194828
> .1780701
> ? more estimates
>    _Isite_2 |  -.6510725   .0513326   -12.68
> 0.001    -.8144356   -.4877094
>    _Isite_3 |   -.671119   .2526669    -2.66   0.077    -1.475218
> .1329796
>    _Isite_4 |  -.0978212   .1077007    -0.91   0.431     -.440573
> .2449306
>       _cons |   6.814154    1.29869     5.25   0.013     2.681142
> 10.94717
> -------------------------------------------------------------------
> ---------
> --
> 
> 
> .
> 
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