Re: st: significance level after ols, robust

["Viktor Slavtchev" <viktor.slavtchev@uni-jena.de>]

Maarten
Thnx
viktor


Am 1 May 2007 um 14:44 hat Maarten buis geschrieben:

> --- Viktor Slavtchev <viktor.slavtchev@uni-jena.de> wrote:
> > I�m estimating a simple OLS with correction for intragroup
> > correlation: reg y x1 x2, cluster(race).
> > Now Stata reports estimated coefficient, SE, t-values and P>|t|. For
> > example: 2.910862   1.303605     2.23   0.089
> > t-value of 2.23 means significant at 5%, at least according to a
> > standard normal distribution table.  Significance level reported by
> > Stata is, however, 8.9%. Why?
> 
> Because you shouldn't compare a t-value with a standard normal
> distribution, but with a t distribution. If the number of degrees of
> freedom is large, the normal is a good distribution of the t, but this
> is not the case if the number of degrees of freedom is small, and with
> the cluster option the number of degrees of freedom is a function of
> the number of clusters and not of the number of observations. If you
> cluster over race than the number of degrees of freedom is likely to be
> very small indeed and the normal distribution is no longer a good
> approximation of the t-distribution. 
> 
> Hope this helps,
> Maarten
> 
>  
> 
> -----------------------------------------
> Maarten L. Buis
> Department of Social Research Methodology
> Vrije Universiteit Amsterdam
> Boelelaan 1081
> 1081 HV Amsterdam
> The Netherlands
> 
> visiting address:
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> 
> +31 20 5986715
> 
> http://home.fsw.vu.nl/m.buis/
> -----------------------------------------
> 
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~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Viktor Slavtchev
Friedrich-Schiller-University Jena
Faculty of Economics and Business Administration
Chair of Business Dynamics, Innovation and Economic Change
Carl-Zeiss-Str. 3
07743 Jena, Germany
Phone: ++49 (0)3641 9 43 223
Fax: ++49 (0)3641 9 43 232
www: http://www.wiwi.uni-jena.de/uiw/index.html

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