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From |
Stas Kolenikov <skolenik@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: adjusted r-squared, regress with pweight |

Date |
Wed, 12 May 2010 13:34:07 -0500 |

Yes, David, it was asked before a number of times :)). Sum of squares and all that ANOVA stuff assumes the normal regression model (i.e., the regression errors follow N(0,sigma^2) distribution). pweights imply a probability sampling design, under which no distributional assumptions are made, so the ANOVA table is inappropriate. You can still compute all the sums of squares, of course, but they may not have readily available population analogues; and the distributional results for F-tests do not have the exact finite sample interpretation anymore (although you'd still be able to get asymptotic Wald tests, I imagine). Likewise, you should not expect these things to show up when you specify -robust- or -cluster- standard errors -- you know your data are heteroskedastic, so why on earth would you ask for some sort of averaged variance? On Wed, May 12, 2010 at 11:20 AM, David Kantor <kantor.d@att.net> wrote: > Hello. > > Sorry if this is a very elementary matter, or if it reveals my ignorance. > And sorry if this has been covered before. > > If I do regress with a p-weight, it does not display adjusted r-squared; it > also does not display the table of model and residual sum-of-squares and > degrees-of-freedom. > But these items are apparently computed, as they show up in the ereturned > scalars. > Can anyone tell me why this is? > > I use Stata 10.1. > > Thanks > --David > > * > * 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/ > -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I use this email account for mailing lists only. * * 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/

**Follow-Ups**:**Re: st: adjusted r-squared, regress with pweight***From:*Steve Samuels <sjsamuels@gmail.com>

**References**:**st: adjusted r-squared, regress with pweight***From:*David Kantor <kantor.d@att.net>

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