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st: re: reg p-values

From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: re: reg p-values
Date   Sun, 1 May 2005 12:41:04 -0400

Eric wondered about p-values of t-stats when using the cluster option.

reg price mpg, clu(rep78)

will show that there are four degrees of freedom in that regression, so that e,g.
mpg | -226.3607 82.63217 -2.74 0.052 -455.7843 3.063024

the t-stat of 2.74 has an 0.052 pvalue. But if you look up the t distribution with 4 df, that's right..
The cluster estimator of the covariance matrix has d.f. equal to #clusters - 1. That's why it will fail (or should!) if you have more regressors than clusters.

Kit Baum, Boston College Economics

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