Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: AW: Heteroskedasticity-robust F statistic and t statistic


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: AW: Heteroskedasticity-robust F statistic and t statistic
Date   Thu, 28 May 2009 23:01:15 +0200

<> 

You probably want - vce(robust)- for your varcov. With the standard errors
changing under the new estimator for the varcov, the F-test must change as
well - which you can observe in the example below. 

*************
sysuse auto, clear
reg pr we tr disp
di in red "F-statistic: " e(F)
reg pr we tr disp, vce(robust)
di in red "F-statistic: " e(F)
*************



HTH
Martin

-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Carola Herrera
Gesendet: Donnerstag, 28. Mai 2009 22:24
An: statalist@hsphsun2.harvard.edu
Betreff: st: Heteroskedasticity-robust F statistic and t statistic

Good morning,

How do I compute heteroskedasticy-robust F statistic for an OLS regression?

If I use reg with , robust (cluster) 
are the t statistics obtained robust to heteroskedasticity or do I need
another command?

Any help on this question will be appreciated (I have been looking at STATa
help and FAQ files but I am still not clear on these distinctions)
Thanks
Carola


      

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index