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AW: st: p-values seem too low after regress with cluster option


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   AW: st: p-values seem too low after regress with cluster option
Date   Wed, 15 Apr 2009 11:54:48 +0200

<> 

Depends on the degrees of freedom... See 

*************
help density_functions, mark(t)
*************

to find out...


HTH
Martin

-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Eva Poen
Gesendet: Mittwoch, 15. April 2009 11:35
An: statalist@hsphsun2.harvard.edu
Betreff: Re: st: p-values seem too low after regress with cluster option

Erasmo,

this depends on the degrees of freedom. With clustering, your df can
be greatly reduced. If, for example, you have 7 degrees of freedom
(i.e. 8 industries), the p-value will be equal to 2*ttail(7,1.78)
which is around 0.118.

Hope this helps,
Eva



2009/4/15 Erasmo Giambona <e.giambona@gmail.com>:
> Dear Statlist,
>
> I am fitting a model to a cross-sectional data set of 304 firms across
> 9 industries. I fit the model using regress with the robust and
> cluster options (which I use to cluster standard errors at the
> industry level). One of the variables obtains  a "t" of 1.78 but its
> p-value is "only" 0.114. Shouldn't the p-value be lower than 10% in
> this case?
>
> I really cannot explain this.
>
> I hope somebody could provide an explanation.
>
> Thanks,
>
> Erasmo
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