Stata does not calculate an F-statistic after a clustered regression because
the clustered regression uses Huber variances, which are calculated without
assuming that the observations are independent and homoskedastic (ie equally
variable). The F-test statistic is calculated using the assumption that
observations are independent and homoskedastic, and is therefore not
appropriate for use in a clustered regression analysis. To carry out
multi-dimensional hhypothesis tests for a clustered regression model, use
the -test- command.
I hope this helps.
Roger
--
Roger Newson
Lecturer in Medical Statistics
Department of Public Health Sciences
Division of Asthma, Allergy and Lung Biology
King's College London
5th Floor, Capital House
42 Weston Street
London SE1 3QD
United Kingdom
Tel: 020 7848 6648 International +44 20 7848 6648
Fax: 020 7848 6620 International +44 20 7848 6620
or 020 7848 6605 International +44 20 7848 6605
Email: [email protected]
Website: http://phs.kcl.ac.uk/rogernewson/
Opinions expressed are those of the author, not the institution.
CCarolyn Zhu wrote:
Hello listers,
Would anybody tell me what it means when stata does not compute an F
statistic after a clustered regression? The estimation results with and
without the cluster option are provided below.
Thanks.
. regress loc_fim2_nod katjanine loc_fim1 demented age1 male rand nh_res
paidhelp fnnondisp fndisp clin_ab_admt_dum _Isite_2 _Isite_3 _Isite_4
Source | SS df MS Number of obs =
464
-------------+------------------------------ F( 14, 449) =
18.86
Model | 2495.89099 14 178.277928 Prob > F =
0.0000
Residual | 4243.41074 449 9.45080342 R-squared =
0.3703
-------------+------------------------------ Adj R-squared =
0.3507
Total | 6739.30172 463 14.5557273 Root MSE =
3.0742
----------------------------------------------------------------------------
--
loc_fim2_nod | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
katjanine | .0987764 .0380182 2.60 0.010 .0240608
.1734921
� more estimates
_Isite_2 | -.6510725 .4850485 -1.34 0.180 -1.60432
.3021745
_Isite_3 | -.671119 .5081955 -1.32 0.187 -1.669856
.3276179
_Isite_4 | -.0978212 .585194 -0.17 0.867 -1.24788
1.052238
_cons | 6.814154 1.96921 3.46 0.001 2.944142
10.68417
----------------------------------------------------------------------------
--
. regress loc_fim2_nod katjanine loc_fim1 demented age1 male rand nh_res
paidhelp fnnondisp fndisp clin_ab_admt_dum _Isite_2 _Isite_3 _Isite_4,
robust cluster(site)
Regression with robust standard errors Number of obs =
464
F( 2, 3) =
.
Prob > F =
.
R-squared =
0.3703
Number of clusters (site) = 4 Root MSE =
3.0742
----------------------------------------------------------------------------
--
| Robust
loc_fim2_nod | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
katjanine | .0987764 .0249159 3.96 0.029 .0194828
.1780701
� more estimates
_Isite_2 | -.6510725 .0513326 -12.68
0.001 -.8144356 -.4877094
_Isite_3 | -.671119 .2526669 -2.66 0.077 -1.475218
.1329796
_Isite_4 | -.0978212 .1077007 -0.91 0.431 -.440573
.2449306
_cons | 6.814154 1.29869 5.25 0.013 2.681142
10.94717
----------------------------------------------------------------------------
--
.
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
