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Re: st: xtreg fe cluster and F-test


From   "Stas Kolenikov" <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtreg fe cluster and F-test
Date   Fri, 25 Apr 2008 16:49:49 -0500

F-tests are ratios of variances. When you start talking about
-robust-, it means you do not think there is a common variance
anymore, so Stata does not provide neither the variances themselves
nor their ratios. A perfectly sensible answer.

You can follow up through the mechanics of the F-test, but what you
will get in the end is a random variable with unknown distribution...
probably a ratio of two complicated quadratic forms in normal
variables, neither of which has a chi-square distribution, to begin
with.

On Fri, Apr 25, 2008 at 2:17 PM,  <M.R.Sanchis-Guarner-Herrero@lse.ac.uk> wrote:
> Hi everyone,
>
>  Just a short and probably trivial question,
>  why when estimating using xtreg, fe when I control bu robust or cluster-robust standard
> errors, Stata does not show (and does not calculate as it is not saved on the e()) the
> F-test for all the individual u_i effects being zero?
>  Can I calculate this test myself after using xtreg, fe cluster?
>  Thank you
>

-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: Please do not reply to my Gmail address as I don't check
it regularly.
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