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Re: st: Is my parameter significant or not?
From
Scott Merryman <[email protected]>
To
[email protected]
Subject
Re: st: Is my parameter significant or not?
Date
Fri, 23 Aug 2013 06:23:13 -0500
The two specifications are the same though to evaluate the
coefficients in first specification you need to add the main effect to
the interactions.
For example:
webuse grunfeld,clear
areg invest L.mval com#cL.mval, ab(com)
lincom _b[2.company#cL.mvalue] + _b[L.mvalue]
qui areg invest com#cL.mval, ab(com)
disp _b[2.company#cL.mvalue] " " _se[2.company#cL.mvalue]
Scott
On Wed, Aug 21, 2013 at 10:52 AM, Herman Haugland
<[email protected]> wrote:
> Hi,
>
> I would appreciate someone could provide me an answer to the following question:
>
> I am estimating the following model:
>
> . areg beta L.lev group#cL.lev i.year, absorb(group)
>
> Group is a categorical variable: 1, 2
> Lev is a continuous variable
> Year are year effects
> Group are fixed effects
>
> Under that specification of the model, I get the following results:
>
> . areg beta L.lev group#cL.lev i.year, absorb(group)
>
> __________________________________________________________________
>
> Linear regression, absorbing indicators Number of obs = 285
> F( 17, 266) = 4.04
> Prob > F = 0.0000
> R-squared = 0.3540
> Adj R-squared = 0.3103
> Root MSE = 0.3038
>
> ------------------------------------------------------------------------------
> beta | Coef. Std. Err. t
> P>|t| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> lev |
> L1. | .059685 | .014907 | 4.00 | 0.000
> [ .0303342 .0890358]
>
> group#cL.lev |
> 2 | -.0451045 .0178834 -2.52 0.012
> -.0803155 -.0098936
>
> ____________________________________________________________________
>
> What I would like to highlight from here, is the fact that the P value
> for group#cLlev 2 is significant at the 5% level.
>
>
> If I run the same model in a different way, like this:
>
> ____________________________________________________________
>
> . areg beta group#cL.lev i.year, absorb(group)
>
> Linear regression, absorbing indicators Number of obs = 285
> F( 17, 266) = 4.04
> Prob > F = 0.0000
> R-squared = 0.3540
> Adj R-squared = 0.3103
> Root MSE = 0.3038
>
> ------------------------------------------------------------------------------
> beta | Coef. Std. Err. t P>|t|
> [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> group#cL.lev |
> 1 | .059685 .014907 4.00 0.000 [
> .0303342 .0890358]
> 2 | .0145805 .0114004 1.28 0.202
> [-.0078661 .037027]
>
> ________________________________________________________________
>
>
> The P value for group 2 is not significant at the 5% level.
>
>
> So the question is, which P-value should I consider as correct? In
> other words, is my parameter estimate significant or not?
>
> (Please note that I get exactly the same parameter estimates from both
> methods, but the associated P-values and t-values change).
>
>
>
> Thank you for your consideration.
>
>
>
>
> Med vennlig hilsen / Best regards,
>
> Herman Haugland
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