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From |
"Austin Nichols" <austinnichols@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: cluster and F test |

Date |
Sat, 5 Jul 2008 13:01:50 -0400 |

sara borelli <saraborelli77@yahoo.it>: The cluster-robust standard error (CRSE) estimator has at most M-1 df with M clusters, so with 14 clusters you can test the joint sig. of at most 13 coefs. But the performance of the estimator gets worse as you increase the the number of constraints. The CRSE's performance improves as M-k increases toward infinity, where M is the number of clusters and k the number of constraints you are testing, and for M-k at least 20 and clusters balanced you should expect good performance. Since you have M-k equal to one (the minimum possible value), you should expect that the estimated variance is too low and the F stat is too high, on average. Note that clusters are like super-observations, for the purposes of the SE of estimated coefs, so a regression on 37 variables with 14 clusters is a bit like a regression on 37 vars with 14 obs--you really don't want to test more than one coef there, and maybe not even that many. How are your clusters defined? Is there any possibility of adding more clusters, or redefining them sensibly so you have more clusters? On Fri, Jul 4, 2008 at 5:16 AM, sara borelli <saraborelli77@yahoo.it> wrote: > 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 * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: cluster and F test***From:*sara borelli <saraborelli77@yahoo.it>

**References**:**st: cluster and F test***From:*sara borelli <saraborelli77@yahoo.it>

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