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From |
"Nick Cox" <n.j.cox@durham.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: Missing F-statistic using areg, absorb( ) cluster( ) |

Date |
Wed, 3 Mar 2010 14:38:40 -0000 |

I'd omit the first two predictors to see what difference that makes. Nick n.j.cox@durham.ac.uk Samuel Finkelstein I have been using the areg command and have recently run into an issue with missing F-statistics. In particular, I am estimating two very similar models, where only the dependent variables differ. In particular, the first model uses the percent change in the amount of a given product purchased, and the second model uses the percent change in the amount of a different product purchased. Everything else in the models stays the same. Given the similarities across the models, I am having difficulty understanding why one model has an F-statistic while the other model has a missing F-statistic. I (believe) I understand this could be a problem of rank, but if that is the case, shouldn't there be a problem with both models. The output for the two models is below. If anyone has any advice or any thoughts regarding this issue, it would be greatly appreciated. The models below cluster by state (i.e. states in the U.S.) and use yearly fixed effects. . areg chng_a l.chng_t l2.chng_t popchng l.totf l2.totf l.toti l2.toti, absorb(year) cluster(state) Linear regression, absorbing indicators Number of obs = 507 F( 7, 50) = 52.74 Prob > F = 0.0000 R-squared = 0.1724 Adj R-squared = 0.1454 Root MSE = .38704 (Std. Err. adjusted for 51 clusters in state) ------------------------------------------------------------------------ ------ | Robust chng_a| Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------- ------ chng_t | L1. | -1.07e-08 9.35e-10 -11.49 0.000 -1.26e-08 -8.87e-09 L2. | -5.11e-09 7.20e-10 -7.10 0.000 -6.56e-09 -3.66e-09 popchng | .8971431 1.431939 0.63 0.534 -1.978991 3.773277 totf | L1. | -.0011519 .0008915 -1.29 0.202 -.0029426 .0006388 L2. | -.0002194 .0007874 -0.28 0.782 -.001801 .0013622 toti | L1. | .0000377 .0000311 1.21 0.231 -.0000248 .0001001 L2. | -.0000171 .0000239 -0.72 0.476 -.0000651 .0000308 _cons | .0996357 .0172391 5.78 0.000 .06501 .1342615 -------------+---------------------------------------------------------- ------ year | absorbed (10 categories) . areg chng_b l.chng_t l2.chng_t popchng l.totf l2.totf l.toti l2.toti, absorb(year) cluster(state) Linear regression, absorbing indicators Number of obs = 507 F( 5, 50) = . Prob > F = R-squared = 0.4833 Adj R-squared = 0.4664 Root MSE = .07515 (Std. Err. adjusted for 51 clusters in state) ------------------------------------------------------------------------ ------ | Robust chng_b| Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------- ------ chng_t | L1. | -1.85e-09 1.68e-10 -10.98 0.000 -2.18e-09 -1.51e-09 L2. | 2.78e-09 1.94e-10 14.36 0.000 2.39e-09 3.17e-09 popchng | .9542675 .2958303 3.23 0.002 .3600749 1.54846 totf | L1. | .0001632 .0001579 1.03 0.307 -.000154 .0004804 L2. | -.0002011 .0001287 -1.56 0.124 -.0004595 .0000574 toti | L1. | -.0000115 3.43e-06 -3.34 0.002 -.0000184 -4.58e-06 L2. | 4.40e-06 4.77e-06 0.92 0.361 -5.19e-06 .000014 _cons | .0342539 .0044325 7.73 0.000 .0253508 .0431569 -------------+---------------------------------------------------------- ------ year | absorbed (10 categories) Any thoughts or recommendations would be greatly appreciated. * * 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/

**References**:**st: Missing F-statistic using areg, absorb( ) cluster( )***From:*Samuel Finkelstein <s.finkelstein73@gmail.com>

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