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st: regression with vce(robust) and ANOVA table


From   Nick Winter <njgwinter@gmail.com>
To   Stata List <statalist@hsphsun2.harvard.edu>
Subject   st: regression with vce(robust) and ANOVA table
Date   Sat, 21 Jul 2012 13:15:39 -0400

Hi all,

The Stata manual explains that the ANOVA table is omitted from regression results when vce(robust) is specified, in part:

"regress purposefully suppresses displaying the ANOVA table when vce(robust) is specified, as it is no longer appropriate in a statistical sense, even though, mechanically, the numbers would be
unchanged."

I'm looking for an explanation of why this is so. I feel like this has been discussed before on Statalist, but I can't find it.

Can anyone explain a bit more, or point me to something that does so?

Thanks!!

Nick Winter

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