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


From   Steven Samuels <sjsamuels@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: regress with vce(robust) and hascons
Date   Tue, 14 Dec 2010 11:58:31 -0500


I am asking for a note something like: "note: The F statistic tests the hypothesis that the mean of every observation is zero, because options -hascons- and -vce(cluster)- are both specified."

The F statistic with -hascons- and -vce(cluster)- tests a hypothesis different from that of any of the other three combinations of - hascons- and -vce(cluster)-. Certainly the reasons for this are valid. But both Michael and I were surprised, and, if so, I imagine that other users would be and would appreciate the note.


On Mon, Dec 13, 2010 at 1:00 PM, Steven Samuels <sjsamuels@gmail.com> wrote:
Thanks, Jeff. I suggest that, when the vce(robust) and -hascons- options are
present, the results contain a remark about the change in the F test.

Which exactly change? You are using a different estimator of a
variance-covariance matrix for the Wald test, so naturally your
results are going to be different. If you specify -vce(robust)-, you
admit that your data are heteroskedastic, and the sums of squares do
not make sense, so F-test is only available as Wald test, not the
sums-of-squares-ratio test. In this sense, it is more akin to chi2
reported with -ml- models.

--
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.
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