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st: F test after xtreg, fe


From   "Alejandro Lopez-Feldman" <alopezfeldman@ucdavis.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: F test after xtreg, fe
Date   Thu, 10 Aug 2006 07:45:40 -0700 (PDT)

I have a question about the calculation of the test that all u_i=0. I am
using xtreg, fe and accidentally included a time invariant variable in the
model to be estimated. Of course Stata dropped the variable and calculated
the model. I corrected my do file and dropped the time invariant variable
but when I ran the regression again I realized that the F test was
different this time.  As expected the coefficients and s.e. are the same
but not the F-test (partial output shown below). Any idea what is going
on?

Thanks,
Alejandro
- - - - - - - - -
Results of model that included the time invariant variable

Fixed-effects (within) regression             Number of obs     =       170
Group variable (i): codigohogar               Number of groups   =       85
                                                 F(12,73)         =     1.42
corr(u_i, Xb)  = -0.3672                        Prob > F        =    0.1780

---------------------------------------------------------------------------
      sigma_u |   2.230205
      sigma_e |  1.9891388
          rho |  .55694769   (fraction of variance due to u_i)
---------------------------------------------------------------------------
F test that all u_i=0:     F(84, 73) =     1.36         Prob > F = 0.0922


Results of model with time invariant variable excluded

Fixed-effects (within) regression             Number of obs      =      170
Group variable (i): codigohogar               Number of groups   =       85

                                               F(12,73)           =    1.42
corr(u_i, Xb)  = -0.3672                      Prob > F           =   0.1780

---------------------------------------------------------------------------
      sigma_u |   2.230205
      sigma_e |  1.9891388
          rho |  .55694769   (fraction of variance due to u_i)
---------------------------------------------------------------------------
F test that all u_i=0:    F(84, 73) =     1.42            Prob > F = 0.0630

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