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


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
>
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-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.

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