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Re: st: regress with vce(robust) and hascons
From
Richard Goldstein <[email protected]>
To
[email protected]
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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