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RE: 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   RE: st: RE: regress with vce(robust) and hascons
Date   Mon, 13 Dec 2010 17:54:35 +0100

This is what is happening in my opinion.

In an ordinary least squares regression with homoscedastic errors, when the hascons option is specified,Stata 
(i) estimates the coefficients, staandard errors, etc as if the nocons option were effective, 
(ii) but then takes into account the implicit or explicit presence of a constant in the model when calculating overall F test and R2. 

However, when the robust option is specified, Stata has no way of undertaking step (ii) above, and proceeds throughout as if the nocons option were specified.


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 Steven Samuels
Sent: 13 December 2010 16:13
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: RE: regress with vce(robust) and hascons


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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