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R: st: control a variable in stata


From   <carlo.lazzaro@tiscalinet.it>
To   <statalist@hsphsun2.harvard.edu>
Subject   R: st: control a variable in stata
Date   Mon, 23 Apr 2012 07:31:40 +0200

Dear Andy,
the result of Breusch-Pagan / Cook-Weisberg test are saying that you cannot
reject the null hypothesis of no_heteroskedasticity at 0.05 significance
level.
Hence, there is no need for robust standard error in your OLS. 

Kndest Regards,
Carlo



-----Messaggio originale-----
Da: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Per conto di Kong, Chun
Inviato: domenica 22 aprile 2012 15:56
A: statalist@hsphsun2.harvard.edu
Oggetto: RE: st: control a variable in stata

Carlo, Thank you very much for your help! After I have entered the command
'estat hettest' after  my regression, the following has come up:
----------------------------------------------------------------------------
--
Breusch-Pagan / Cook-Weisberg test for heteroskedasticity 
         Ho: Constant variance
         Variables: fitted values of lnsalary

         chi2(1)      =     1.62
         Prob > chi2  =   0.2037

Does it mean there is heteroskedasticity in my model? After that, I have
done the same regression and added (, robust) at the end of it. However, it
seems that nothing has changed.
Should I go ahead with the OLS or white standard errors?

Thank you very much for all your help and time again! :)

Andy

________________________________________
From: owner-statalist@hsphsun2.harvard.edu
[owner-statalist@hsphsun2.harvard.edu] on behalf of
carlo.lazzaro@tiscalinet.it [carlo.lazzaro@tiscalinet.it]
Sent: 22 April 2012 13:20
To: statalist@hsphsun2.harvard.edu
Cc: Kong, Chun
Subject: R: st: control a variable in stata

Andy may want to check for heteroskedasticity after -regress- via - estat
hettest- ( from -regress postestimation- suite).
As an aside, Huber-White sandwich estimator is implemented via the -robust-
option available with most Stata commands (including -regress-), as reported
in Baum CF. An Introduction to Modern Econometrics Using Stata. College
Station, TX: Stata Press, 2006: 136-38.
Best wishes,
Carlo


-----Messaggio originale-----
Da: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Per conto di Kong, Chun
Inviato: domenica 22 aprile 2012 01:05
A: statalist@hsphsun2.harvard.edu
Oggetto: RE: st: control a variable in stata

Thank you very much for all your help!

I have run both poisson and OLS, the OLS gives a R2 of 0.6175 and Poisson
has a R2 of 0.6250, however, all the research that I have gone through is
using OLS. Therefore, I think I should go with OLS, but I really appreciate
for your suggestion and time.

Most of the reserachs stressed in desribing the variable and analyzing the
resutls, however, very few have explained the methodology. One have used
white standard corrected errors because there is a difference between the
adjusted standard errors and the normal standard errors, suggesting there is
small level of heteroskedascticity. Therefore, the model is regressed using
the white standard errors. I have google something relate to white standard
error, however, i still do not understand whether i should follow this
approach.

I am sorry for all the silly question. Once again, thank you very much for
your time and help. :)

Andy


________________________________________
From: owner-statalist@hsphsun2.harvard.edu
[owner-statalist@hsphsun2.harvard.edu] on behalf of Nora Reich
[nhmreich@googlemail.com]
Sent: 21 April 2012 20:38
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: control a variable in stata

Andy, by the way, what is the value of the R2? It gives you a hint on how
much of the variation in salary can be explained by your model. I would
improve the model with new variables (as proposed earlier) and see which
ones have a significant effect and which ones lead to substantial increases
in R2.

Nora



Am 21. April 2012 21:33 schrieb Nora Reich <nhmreich@googlemail.com>:
> As far as I know, -poisson- is for skewed distributions, and salary 
> distribution in general often fulfills this requirement, but salary of 
> NBA players might show a different distribution. The distribution can 
> be checked, e.g. with the command
>
> -histogram salary-
>
> (for more information type -help histogram-).
>
> Andy, I would compare the assumptions and requirements of different 
> estimation strategies (OLS, poisson) and find out which fits better 
> with the data.
>
> I would also check which estimations strategies are used by similar 
> papers, and why.
>
> Apart from -poisson- and -regress-, I cannot think of any at the 
> moment that have to be considered for your salary-estimations.
> However, if there was something like a "minimum wage" for NBA players, 
> i.e. salary is censored,  -tobit- would be an alternative.
>
> Best regards
> Nora
>
>
>
>
> --
> Nora Reich
> www.nora-reich.de
> Publications:
> http://www.nora-reich.de/publikationen.html
> http://www.hwwi.org/ueber-uns/team/forscher/nora-reich/publications.ht
> ml



--
Nora Reich
www.nora-reich.de
Publications:
http://www.nora-reich.de/publikationen.html
http://www.hwwi.org/ueber-uns/team/forscher/nora-reich/publications.html

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