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Re: st: regression with vce(robust) and ANOVA table


From   Steve Samuels <sjsamuels@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: regression with vce(robust) and ANOVA table
Date   Sat, 21 Jul 2012 19:26:16 -0400

I'd guess that the reason is to avoid the impression that the F test is based on the
 mean squares in the ANOVA table.

Steve
sjsamuels@gmail.com


On Jul 21, 2012, at 1:15 PM, Nick Winter wrote:

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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