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Re: st: single p-value for categorical variables and interactions


From   "Clive Nicholas" <[email protected]>
To   [email protected]
Subject   Re: st: single p-value for categorical variables and interactions
Date   Wed, 15 Nov 2006 21:48:30 -0000 (GMT)

Maarten Buis replied to Kelly Richardson:

> yes, with the -test- command, see example:
>
> *------------ begin example --------------
> sysuse auto, clear
> recode rep78 1/2=3
> xi: reg price i.foreign*i.rep78
> test _Irep78_4 = _Irep78_5 = 0
> test _IforXrep_1_4 = _IforXrep_1_5 = 0
> *------------- end example ---------------

Yes, but don't forget that you need to include _all_ the constituent
variables along with the interactions in order to obtain both the correct
parameter values and the p-values, otherwise you assume -foreign- and
-rep78- to equal 0: and that's almost never the case. So the above model
should be:

. xi: reg price foreign rep78 i.foreign*i.rep78

Admittedly, the model estimates don't change much, but some of the -test-
results do. Compare:

. test _Irep78_4 = _Irep78_5 = 0

 ( 1)  _Irep78_4 - _Irep78_5 = 0
 ( 2)  _Irep78_4 = 0

       F(  2,    63) =    0.55
            Prob > F =    0.5803

without the constituent variables, with

. test _Irep78_4 = _Irep78_5 = 0

 ( 1)  _Irep78_4 - _Irep78_5 = 0
 ( 2)  _Irep78_4 = 0
       Constraint 2 dropped

       F(  1,    63) =    0.17
            Prob > F =    0.6847

when we include them. OK, it's a silly dataset, but the point is an
important one!

CLIVE NICHOLAS        |t:
Politics              |e: [email protected]
Newcastle University  |http://www.ncl.ac.uk/geps

Whereever you go and whatever you do, just remember this. No matter how
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