Meryle,
I don't think Roger is right in this case, or more precisely, that he has
spotted the source of the difficulty.
Your problem is that the cluster-robust estimator relies on the number of
clusters to go off to infinity for the asymptotics to work. Moreover, the
cluster-robust variance-covariance matrix won't even be of full rank if
the number of regressors (rows/cols) is greater than the number of
clusters.
If you check your second regression, you'll see you have only 4 clusters.
Your var-cov matrix is therefore not of full rank, and this is why the
F-test fails. If you check the regression output from within Stata, there
should be a hyperlink on the failed F-stat that will give you some
details.
The basic point is that you need to have a decent number of clusters for
the cluster-robust var-cov matrix to make any sense, just as you need a
decent number of observations for the coefficient estimator to make any
sense.
Hope this helps.
Yours,
Mark
> Thanks. This is exactly what I was looking for.
>
> Meryle
>
> ----- Original Message -----
> From: Roger Newson <[email protected]>
> Date: Sunday, December 18, 2005 12:02 pm
> Subject: st: RE: F statistic after a clustered regression
>
>> 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
>> thatobservations 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_respaidhelp 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_respaidhelp 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/
>>
>
> *
> * For searches and help try:
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> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
__________________________________________________________________
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__________________________________________________________________
*
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