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st: F test for clustered data regression ?


From   Benn Fine <bennfine@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: F test for clustered data regression ?
Date   Tue, 4 Apr 2006 17:18:51 -0700 (PDT)

I was going through the regression with clustered data
example at
http://www.gseis.ucla.edu/courses/ed230bc1/notes3/cluster.html

In this example they show output for a clustered data
regression which I reproduce below.

My question is how does stata calculate the overall F
test for a clustered data regression ?

Thanks!

Benn

regress api04 meals el avg_ed emer, cluster(dnum)

Regression with robust standard errors                
Number of obs =    4702
                                                      
F(  4,   833) =  472.33
                                                      
Prob > F      =  0.0000
                                                      
R-squared     =  0.7257
Number of clusters (dnum) = 834                       
Root MSE      =  49.906

------------------------------------------------------------------------------
             |               Robust
       api04 |      Coef.   Std. Err.      t    P>|t| 
   [95% Conf. Interval]
-------------+----------------------------------------------------------------
       meals |  -1.393737    .132543   -10.52   0.000 
  -1.653895    -1.13358
          el |   .2083527    .109512     1.90   0.057 
  -.0065991    .4233045
      avg_ed |   57.33541   5.590804    10.26   0.000 
   46.36169    68.30913
        emer |  -1.488105   .2979344    -4.99   0.000 
  -2.072895   -.9033141
       _cons |   652.3525   22.19378    29.39   0.000 
   608.7902    695.9148
------------------------------------------------------------------------------


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