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st: cluster and F test


From   sara borelli <saraborelli77@yahoo.it>
To   statalist@hsphsun2.harvard.edu
Subject   st: cluster and F test
Date   Fri, 4 Jul 2008 09:16:46 +0000 (GMT)

Dear Stata List members,

I have found some related questions on FAQs, but I cannot fins exactly what I need.
I am running a regression with the cluster option. I have 37 independent variables (including the constant), 1647 observations, and 14 clusters.
I want to test the joint significance of 18 variables.
If I do NOT use the cluster option the F is calculated correctly as F(18, 1637).
But once I introduce the cluster option I get the following result:
 (1)  x1= 0
 (2)  x2 = 0
 (3)  x3 = 0
 (4)  x3 = 0
 ...
 (18)  x18 = 0
       Constraint 1 dropped
       Constraint 2 dropped
       Constraint 3 dropped
       Constraint 4 dropped
       Constraint 14 dropped

       F( 13,    13) =  109.42
            Prob > F =    0.0000

I guess stata is doing something on the degree of freedoms, but I have not clear what is going on, why it is dropping the constraints. Is the final F test calculated correct?
Thank you in advance for any help

Sara Borelli



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