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st: F-Test for FE with xtreg and areg


From   Guedj Ilan <[email protected]>
To   [email protected]
Subject   st: F-Test for FE with xtreg and areg
Date   Thu, 20 Nov 2008 13:38:42 -0800 (PST)

If you run the same regression with a robust standard error (or a cluster) the F-test disappears.

I know I can generate it myself, I am just curious why the F-test disappears and whether it is an indication of a problem with running an F-test on a FE regression with robust standard errors.

Thanks.
When you use either xtreg or areg with a fixed effect you get an F-Test about the significance of the fixed effect.


      
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