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


From   DE SOUZA Eric <eric.de_souza@coleurope.eu>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: regress with vce(robust) and hascons
Date   Mon, 13 Dec 2010 14:56:04 +0100

I still have to digest the information, but there is a discussion linked to the issue you raise in the manuals
See page 1521 of -regress- for a comparison of hascons and nocons
and page 1524 of -regress- for a discussion of F tests with and without hascons
Combining these two should provide the answer. 


Eric de Souza
College of Europe
BE-8000 Brugge (Bruges)
Belgium

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Michael N. Mitchell
Sent: 13 December 2010 09:43
To: Statalist
Subject: st: regress with vce(robust) and hascons

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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