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From |
Kit Baum <[email protected]> |

To |
[email protected] |

Subject |
st: re: more anova tabulation... |

Date |
Mon, 13 Dec 2004 22:42:50 -0500 |

John said

Having successfully harvested my crop of beta coefficients, I've turned my attention to other parts of the regression report. I'd like to accumulate the t-stat and p-value for the various levels of the anova. I thought I might be able to recover them from the e(return) list, where an F-stat is kept, but I don't see the relationship between the t-stat in the regression output and the corresponding F-value ( t^2= F with degrees of freedom of (1,N-2) ) that I was expecting. Is that not Student's t in the regression table? Is this another quirk of anova interactions that is spoiling the t/F relationship? Is it possible to capture the t-stat in some other way...perhaps from the e(V) matrix (although that didn't look straight-forward either).

I'm not that familiar with how -anova- kicks out its results, but you should be able to work with the diagonal elements of the e(V) matrix just as easily as the elements of e(b), right? Their square roots are the estimated standard errors, so the ratio of a b/sqrt(V) is a "t-stat". The relationship between t(.) and F(1,.) only applies for one numerator df -- so if using auto you do

anova mpg foreign rep78

anova, regress

It is indeed true that the t on foreign in regression, squared, is the F reported in ANOVA. But the F for rep78 cannot be constructed from the 4 t-stats, since it is a joint test.

Kit Baum, Boston College Economics

http://ideas.repec.org/e/pba1.html

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