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st: degrees of freedom adjustment in sureg


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: degrees of freedom adjustment in sureg
Date   Thu, 3 May 2007 12:46:47 -0400

sacrificial lamb

Brian wrote

The "small" option only affects whether z and chi2 statistics on one hand
and t and F statistics on the other are displayed. To replicate the
results from -regress- using -sureg-, you must specify the "dfk" or "dfk2"
options along with "small":

. sysuse auto
. regress price mpg headroom trunk
. estimates store reg
. sureg (price mpg headroom trunk), small dfk
. estimates table reg ., se equations(1)

----------------------------------------
Variable | reg active
-------------+--------------------------
mpg | -224.35974 -224.35974
| 65.275114 65.275114
headroom | -659.46302 -659.46302
| 484.51008 484.51008
trunk | 126.60486 126.60486
| 107.23994 107.23994
_cons | 11175.774 11175.774
| 2431.1345 2431.1345
----------------------------------------
legend: b/se


When there is a single equation, the "dfk" and "dfk2" options result in
the same degree-of-freedom adjustment, but in general that need not be the
case. Since one is not clearly better than the other, you must specify
which one you want.



Thanks for this clarification. IMHO using the small option should either default to one of these options or require that one of them be given as well. I think it is very confusing relative to other Stata commands to have a -small- option that alters the distribution used for evaluation without recalculating the covariance matrix.

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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