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st: RE: F-test Stata reg..., robust


From   DE SOUZA Eric <eric.de_souza@coleurope.eu>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: F-test Stata reg..., robust
Date   Fri, 20 Aug 2010 11:24:01 +0200

Robustification only affects the variances and the covariances.
Coefficients stay the same, which means that Model SS, Residual SS and d.f. remains the same.
But the F-test should take into account the new variances and covariances calculated under robustification.

Why don't you post some output using a commonly accessible file such as auto.dta
webuse auto
will get you the file

By the way, Stata v10.1 does not produce the model ss, residual ss, under robustification.  


Eric de Souza
College of Europe
Brugge (Bruges)
Belgium

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Julian Dragendorf
Sent: 20 August 2010 11:13
To: statalist@hsphsun2.harvard.edu
Subject: st: F-test Stata reg..., robust

Hello! 

I have a short question regarding the F-test for STATA 10.0 and EVIEWs 6.0 when using a simple OLS multiple regression model: If I use the Stata command "reg..., robust" to estimate a multiple regression model I get the same coef., std. err, t-stat and r2 as if I use Eviews OLS regression with white heteroskedasticity-const std error & covariance. However, the only thing which differs is the F-test which is higher for Eviews than for Stata.
When I use the Model SS, Residual SS and the respective d.f. of model estimated with STATA I can calculate the F-test manually whereby I get out the same F-test as in Eviews. Does somebody know why there is a difference in the F-test but everything else is equal when using STATA (reg...,robust) and Eviews (reg with white hetero. consist. st errors)?

Many thanks!



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