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st: Re: F-statistic using Newey


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: F-statistic using Newey
Date   Tue, 19 May 2009 07:11:07 -0400

<>
You don't have to go that far to find this issue arising:

sysuse auto
reg price mpg
reg price mpg, robust

Any program that calculates robust or HAC (Newey-West) estimates of the VCE (regress, ivregress, newey, ivreg2 from SSC) will also construct robust (or HAC) estimates of the F-statistic, that is, 'robustified' F stats. See Wooldridge, Introductory Econometrics, 4th ed., Appendix E:

"A Wald statistic that is robust to heteroskedasticity of unknown form is obtained by... and similarly for a test statistic robust to both heteroskedasticity and serial correlation. The robust versions of the test statistics CANNOT be computed via sums of squared residuals or R- squareds from the restricted and unrestricted regressions." (p. 810)

So the intuition that because the sums of squares have not changed, the degrees of freedom, the R^2 have not changed, you should get the same F is faulty.

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



On May 19, 2009, at 02:33 , Herman wrote:

I am running a series of regressions using the regress and newey
procedures. However, the F-statistic is different when I run regress y
x than when I run newey y x. I thought the newey procedure only
adjusted the VCV matrix leaving the residuals (used to compute the
F-stat) unchanged, but apparently that is not case.
Does anybody know the exact formulas that Stata uses to compute the
F-statistic under the newey procedure?

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