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


From   Steven Samuels <sjsamuels@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: regress with vce(robust) and hascons
Date   Mon, 13 Dec 2010 10:13:05 -0500


According to the manual pages that Eric referenced, with the -hascons- option, the F test should test for the difference in intercepts. Michael's question is: why does the addition of the -vce(robust)- option alter this? It looks like a bug to me, but only someone from StataCorp can tell us for sure.

Steve
sjsamuels@gmail.com

On Dec 13, 2010, at 8:56 AM, DE SOUZA Eric wrote:

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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