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Re: st: regress with vce(robust) and hascons


From   Richard Goldstein <richgold@ix.netcom.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: regress with vce(robust) and hascons
Date   Mon, 13 Dec 2010 08:26:24 -0500

your -test- statements are different and thus are testing different
null's; one does not include an equals sign and the other includes one

Rich

On 12/13/10 3:42 AM, Michael N. Mitchell wrote:
> Greetings
> 
>   I am puzzled by the behavior of Stata when I include the -vce(robust)-
> option along with the -hascons- option.
> 
>   Consider the example below in which I estimate a model predicting
> -price- from -foreign- but do so using a cell means model by specifying
> ibn.foreign and thus include the -hascons- option. I further want robust
> standard errors so specify the -vce(robust)- option.
> 
> . sysuse auto, clear
> (1978 Automobile Data)
> . regress price ibn.foreign, vce(robust) hascons
> 
> Linear regression                                      Number of obs
> =      74
>                                                        F(  2,    72) = 
> 165.64
>                                                        Prob > F      = 
> 0.0000
>                                                        R-squared     = 
> 0.0024
>                                                        Root MSE      = 
> 2966.4
> 
> ------------------------------------------------------------------------------
> 
>              |               Robust
>        price |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
> Interval]
> -------------+----------------------------------------------------------------
> 
>      foreign |
>           0  |   6072.423   431.2084    14.08   0.000     5212.825   
> 6932.021
>           1  |   6384.682   553.6754    11.53   0.000      5280.95   
> 7488.413
>              |
>        _cons |  (omitted)
> ------------------------------------------------------------------------------
> 
> 
>   The omnibus F test shows 2 degrees of freedom, but I only expected 1
> df. The omnibus F test appears to be testing the joint hypothesis that
> each of the cell means is 0 (see below).
> 
> . test 0.foreign 1.foreign
> 
>  ( 1)  0bn.foreign = 0
>  ( 2)  1.foreign = 0
> 
>        F(  2,    72) =  165.64
>             Prob > F =    0.0000
> 
>   But because I specified -hascons- I expect it to test the equality of
> the cell means.  This is the case when I omit the -vce(robust)-, as
> shown below.
> 
> . regress price ibn.foreign, hascons
> 
>       Source |       SS       df       MS              Number of obs
> =      74
> -------------+------------------------------           F(  1,    72)
> =    0.17
>        Model |  1507382.66     1  1507382.66           Prob > F      = 
> 0.6802
>     Residual |   633558013    72  8799416.85           R-squared     = 
> 0.0024
> -------------+------------------------------           Adj R-squared =
> -0.0115
>        Total |   635065396    73  8699525.97           Root MSE      = 
> 2966.4
> 
> ------------------------------------------------------------------------------
> 
>        price |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
> Interval]
> -------------+----------------------------------------------------------------
> 
>      foreign |
>           0  |   6072.423    411.363    14.76   0.000     5252.386    
> 6892.46
>           1  |   6384.682   632.4346    10.10   0.000     5123.947   
> 7645.417
> ------------------------------------------------------------------------------
> 
> 
>   In this case, the omnibus F test matches the test of the equality of
> the cell means.
> 
> . test 0.foreign = 1.foreign
> 
>  ( 1)  0bn.foreign - 1.foreign = 0
> 
>        F(  1,    72) =    0.17
>             Prob > F =    0.6802
> 
>   Perhaps someone can help me understand where I am askew in my thinking
> about this.
> 
> Many thanks,
> 
> Michael N. Mitchell
> Data Management Using Stata      - http://www.stata.com/bookstore/dmus.html
> A Visual Guide to Stata Graphics - http://www.stata.com/bookstore/vgsg.html
> Stata tidbit of the week         - http://www.MichaelNormanMitchell.com
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