Douglas Barthold <douglas.barthold@mail.mcgill.ca>:
The VCE does not have enough degrees of freedom; see
http://ideas.repec.org/p/boc/usug07/07.html
which means even if it were feasible to jointly test all those coefs,
it would be a very unreliable test (F stat overstated).
You can partial out the region and year fixed effects using -ivreg2-
or -xtivreg2- (SSC); see help on the partial() option.
That assumes that you don't care about those coefs; assume they are
all nonzero so you are not interested in testing their joint
signifcance: instead of comparing to an intercept-only model as in
regular OLS, you are compariing to a many-intercept model.
On Wed, Jan 2, 2013 at 4:30 PM, Douglas Barthold
<douglas.barthold@mail.mcgill.ca> wrote:
> Dear Statalist,
>
> I'm trying to run panel regressions using xtreg with clustered standard errors. I'm using xtreg because I want to include region and year fixed effects.
>
> My problem is that when I include year fixed effects, Stata won't report an F-Stat, which I need. With just region fixed effects, it works. Any ideas why this is happening?
>
> Thanks!
> Doug
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