Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

RE: st: p-value after cluster option


From   sara borelli <saraborelli77@yahoo.it>
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: p-value after cluster option
Date   Tue, 29 Aug 2006 12:27:26 +0200 (CEST)

thank you very much
now is perfectly clear
sara
--- Maarten Buis <M.Buis@fsw.vu.nl> ha scritto: 

> Sara:
> Rich appears to be right, the problem does indeed
> appear to be the
> degrees of freedom. The p-values are calculated
> using a 
> t-distribution not a normal distribution, whereby
> the number of 
> degrees of freedom are N - number of variables - 1.
> However if the 
> number of degrees of freedom is large the t is well
> approximated 
> by a normal, and 1627 degrees of freedom is more
> than enough to 
> make this approximation work extremely well. 
> However, with the 
> cluster option the degrees of freedom are determined
> by the number 
> of clusters (since these are now the number of
> independent bits of 
> information, not the number observations). So if you
> have few 
> clusters the normal approximation may no longer
> work. Stata stores 
> the appropriate degrees of freedom in e(df_r), so
> you can use that 
> to recreate the p-values, like in the example below:
> 
> HTH,
> Maarten
> 
> *-----------------begin example----------------
> sysuse auto, clear
> reg price mpg foreign, cluster(rep78)
> di "t = " abs(_b[mpg]/_se[mpg])
> di "df = " e(df_r)
> di "p = " 2*ttail(e(df_r),abs(_b[mpg]/_se[mpg]))
> di "p is not " 2*norm(-abs(_b[mpg]/_se[mpg]))
> *-----------------end example-------------------
> 
> -----------------------------------------
> Maarten L. Buis
> Department of Social Research Methodology 
> Vrije Universiteit Amsterdam 
> Boelelaan 1081 
> 1081 HV Amsterdam 
> The Netherlands
> 
> visiting adress:
> Buitenveldertselaan 3 (Metropolitan), room Z434 
> 
> +31 20 5986715
> 
> http://home.fsw.vu.nl/m.buis/
> -----------------------------------------
> 
> ---sara borelli wrote:
> > in my regression I have N=1647 and  have 19
> variables.
> > To calculate the P-values I used the tables of the
> > standard normal distribution as in the standard
> way to
> > calculate the P-values.
> 
>  
> --- Richard Goldstein wrote:
> > > sounds like a problem with you're getting the
> > > degrees of freedom correct 
> 
> --- sara borelli wrote:
> > > > But when I use cluster, the p-values look
> "wrong",
> > > > that is if I calculate the p-value using the
> > > > "new-clustered" t-statistics and the
> statistical
> > > > tables I get a result that is different from
> the
> > > > stata output
> 
> 
> *
> *   For searches and help try:
> *  
> http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 


__________________________________________________
Do You Yahoo!?
Poco spazio e tanto spam? Yahoo! Mail ti protegge dallo spam e ti da tanto spazio gratuito per i tuoi file e i messaggi 
http://mail.yahoo.it 
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index