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From |
Kaspar Dardas <[email protected]> |

To |
[email protected] |

Subject |
st: F-value drops/shows after robust option depending on the magnitude of the independent variable |

Date |
Tue, 12 Jan 2010 15:47:00 +0100 |

Hi Statalisters, I have a question regarding the ",robust" option after runnig a multivariate regression. One of my independ variables is mcap (in Euros), which is often an extrem high number (some mcap numbers have more than twelve digits) compared to other numbers in my regression. Whenever I use the "robust" option the F-value drops in the result table and becomes blue. (please not the extreme small coefficent for mcap below) Linear regression Number of obs = 1192 F( 2, 1188) = . Prob > F = . R-squared = 0.0609 Root MSE = .12371 Robust CAR1 Coef. Std. Err. t P>t [95% Conf. Interval] MULTIPLE_T~E .0466895 .0108791 4.29 0.000 .0253452 .0680338 TRANSACTIO~2 .017231 .0048284 3.57 0.000 .0077578 .0267041 mcap -8.07e-12 2.03e-12 -3.98 0.000 -1.21e-11 -4.09e-12 _cons .0367689 .0042553 8.64 0.000 .0284203 .0451176 However, if I run the exact same multivariate regression with mcap2 == mcap/100,000,000 and then use "robust". The F-value shows again. The coefficent for mcap increases, as well. . reg CAR1 MULTIPLE_TRADE TRANSACTION_SIZE2 mcap2, robust Linear regression Number of obs = 1192 F( 3, 1188) = 14.69 Prob > F = 0.0000 R-squared = 0.0609 Root MSE = .12371 Robust CAR1 Coef. Std. Err. t P>t [95% Conf. Interval] MULTIPLE_T~E .0466895 .0108791 4.29 0.000 .0253452 .0680338 TRANSACTIO~2 .017231 .0048284 3.57 0.000 .0077578 .0267041 mcap2 -.0008072 .000203 -3.98 0.000 -.0012055 -.0004089 _cons .0367689 .0042553 8.64 0.000 .0284203 .0451176 Is this an appropriate method to "restore" the F-value? Simply to decrease/increase the magnitude of variables. Please note that the F-value changes with the denominator used to change mcap. For instance the F-value will be different if I divide mcap by 1 Mio or 1 Bio. Thanks, Kaspar * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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