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st: RE: regress with vce(robust) and hascons
From
DE SOUZA Eric <[email protected]>
To
"'[email protected]'" <[email protected]>
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: [email protected] [mailto:[email protected]] 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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