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RE: st: How to use the Wald test when testing for interactions and heterogeneity


From   Amal Khanolkar <[email protected]>
To   "[email protected]" <[email protected]>
Subject   RE: st: How to use the Wald test when testing for interactions and heterogeneity
Date   Wed, 18 Sep 2013 13:53:19 +0000

Dear Richard,

Thanks for your reply. It seems to be working fine for the test for heterogeneity however I ran into some problems for the interaction tests:


Maybe the '#' shouldn't be specified when running testparm? I get the error message below 'no such variables'. However it seems to run the second time when I don't specify the # in the testparm command.

. regress syst i.ethnicity_bi2x bwtgestage_sd i.ethnicity_bi2x#c.bwtgestage_sd age byear i.conscript_office if bmi!=. & height_cons!=. & education!=. & multibirth==1 & sex=
> =1, cluster (mor_lopnr)

Linear regression                                      Number of obs =  406833
                                                       F( 10,341530) = 1497.67
                                                       Prob > F      =  0.0000
                                                       R-squared     =  0.0353
                                                       Root MSE      =  10.869

                                           (Std. Err. adjusted for 341531 clusters in mor_lopnr)
------------------------------------------------------------------------------------------------
                               |               Robust
                          syst |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------------------------+----------------------------------------------------------------
                ethnicity_bi2x |
                            2  |  -.1666134    .112247    -1.48   0.138    -.3866144    .0533875
                            3  |  -3.942219   .2283697   -17.26   0.000    -4.389816   -3.494621
                               |
                 bwtgestage_sd |  -.1459854   .0177271    -8.24   0.000      -.18073   -.1112408
                               |
ethnicity_bi2x#c.bwtgestage_sd |
                            2  |   .3141344    .114124     2.75   0.006     .0904547    .5378141
                            3  |   .4474396   .2303636     1.94   0.052    -.0040664    .8989457
                               |
                           age |   .4489594   .0384143    11.69   0.000     .3736685    .5242502
                         byear |   .1860315   .0040078    46.42   0.000     .1781763    .1938868
                               |
              conscript_office |
                            2  |   -3.07841   .0497884   -61.83   0.000    -3.175994   -2.980826
                            3  |   1.991954   .0537103    37.09   0.000     1.886683    2.097224
                            5  |  -2.619412   .0475503   -55.09   0.000    -2.712609   -2.526214
                               |
                         _cons |  -245.8701   7.978256   -30.82   0.000    -261.5073    -230.233
------------------------------------------------------------------------------------------------


. testparm i.ethnicity_bi2x#bwtgestage_sd
no such variables
r(111);

end of do-file

r(111);

. do "C:\Users\akhan\AppData\Local\Temp\3\STD00000000.tmp"

. regress syst i.ethnicity_bi2x bwtgestage_sd i.ethnicity_bi2x#c.bwtgestage_sd age byear i.conscript_office if bmi!=. & height_cons!=. & education!=. & multibirth==1 & sex=
> =1, cluster (mor_lopnr)

Linear regression                                      Number of obs =  406833
                                                       F( 10,341530) = 1497.67
                                                       Prob > F      =  0.0000
                                                       R-squared     =  0.0353
                                                       Root MSE      =  10.869

                                           (Std. Err. adjusted for 341531 clusters in mor_lopnr)
------------------------------------------------------------------------------------------------
                               |               Robust
                          syst |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------------------------+----------------------------------------------------------------
                ethnicity_bi2x |
                            2  |  -.1666134    .112247    -1.48   0.138    -.3866144    .0533875
                            3  |  -3.942219   .2283697   -17.26   0.000    -4.389816   -3.494621
                               |
                 bwtgestage_sd |  -.1459854   .0177271    -8.24   0.000      -.18073   -.1112408
                               |
ethnicity_bi2x#c.bwtgestage_sd |
                            2  |   .3141344    .114124     2.75   0.006     .0904547    .5378141
                            3  |   .4474396   .2303636     1.94   0.052    -.0040664    .8989457
                               |
                           age |   .4489594   .0384143    11.69   0.000     .3736685    .5242502
                         byear |   .1860315   .0040078    46.42   0.000     .1781763    .1938868
                               |
              conscript_office |
                            2  |   -3.07841   .0497884   -61.83   0.000    -3.175994   -2.980826
                            3  |   1.991954   .0537103    37.09   0.000     1.886683    2.097224
                            5  |  -2.619412   .0475503   -55.09   0.000    -2.712609   -2.526214
                               |
                         _cons |  -245.8701   7.978256   -30.82   0.000    -261.5073    -230.233
------------------------------------------------------------------------------------------------

. 
end of do-file

. do "C:\Users\akhan\AppData\Local\Temp\3\STD00000000.tmp"

. testparm i.ethnicity_bi2x bwtgestage_sd

 ( 1)  2.ethnicity_bi2x = 0
 ( 2)  3.ethnicity_bi2x = 0
 ( 3)  bwtgestage_sd = 0

       F(  3,341530) =  122.45
            Prob > F =    0.0000

The zeros above don't make sense to me.

Thanks,

/Amal.


________________________________________
From: [email protected] [[email protected]] on behalf of Richard Williams [[email protected]]
Sent: 18 September 2013 16:35
To: [email protected]; [email protected]
Subject: Re: st: How to use the Wald test when testing for interactions  and heterogeneity

At 07:59 AM 9/18/2013, Amal Khanolkar wrote:
>Hi,
>
>Could anyone tell me the right syntax for using the Wald test for
>the following regression models?  I tried looking at the help page
>for the command 'test' but I wasn't able to figure it out:
>
>
>Ideally I would test for heterogeneity for the following model as
>follows using the LRT, but this doesn't go with the cluster option:
>
>regress syst i.ethnicity_bi2x age byear i.conscript_office if bmi!=.
>& height_cons!=. & education2!=. & bwtgestage_sd!=. &
>gestwk_catx2!=. & multibirth==1 & sex==1, cluster (mor_lopnr)
>estimates store a
>regress syst ethnicity_bi2x age byear i.conscript_office if bmi!=. &
>height_cons!=. & education2!=. & bwtgestage_sd!=. & gestwk_catx2!=.
>& multibirth==1 & sex==1, cluster (mor_lopnr)
>lrtest a

So, are you basically trying to test whether ethnicity_bi2x can be
treated as a continuous variable? Does something like this do what you want?

sysuse auto, clear
reg price mpg c.rep78 i.rep78
testparm i.rep78

If the test comes up insignificant (as it does in this case) this
means that the continuous version alone is sufficient.

>And similarly when testing for interactions:
>
>xi: regress syst i.ethnicity_bi2x*bwtgestage_sd age byear
>i.conscript_office bmi height_cons i.education if multibirth==1 &
>sex==1, cluster (mor_lopnr)
>estimates store A
>xi: regress syst i.ethnicity_bi2x bwtgestage_sd age byear
>i.conscript_office bmi height_cons i.education if multibirth==1 &
>sex==1, cluster (mor_lopnr)
>lrtest A

Why the switch to xi? If you have Stata 11 or higher, I think it
should be something like

regress syst i.ethnicity_bi2x bwtgestage_sd
i.ethnicity_bi2x#c.bwtgestage_sd age byear i.conscript_office bmi
height_cons i.education if multibirth==1 & sex==1, cluster (mor_lopnr)

testparm i.ethnicity_bi2x#bwtgestage_sd

You may also wish to see this thread from 2 years ago:

http://www.stata.com/statalist/archive/2011-10/msg01350.html

http://www.stata.com/statalist/archive/2011-10/msg01352.html

http://www.stata.com/statalist/archive/2011-10/msg01389.html

-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
HOME:   (574)289-5227
EMAIL:  [email protected]
WWW:    http://www.nd.edu/~rwilliam

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