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st: manual F-test

Subject   st: manual F-test
Date   Tue, 20 Apr 2010 12:15:17 -0400

Hi -
I recently conducted a manual F-test to determine whether I could pool both large and small market data. Test worked great. (see code below)
   I now have two questions, the first of which is most important.

1. I now need to conduct a similar test using -regress- (instead of xtpcse). Since Stata does not collect e(n_cf) in -regress- is there a way for me to re-write the code to still perform this manual test after using -regress-?

2. Is there a built in command I don't know about that would make this all a lot easier?



* Step 1 F test - only small markets
xtpcse ..etc.. if big==0
display e(rss)
display e(n_cf)
generate rssS = e(rss)
generate KS = e(n_cf)

* Step 2 of F test - only big markets
xtpcse ..etc.. if big==1
display e(rss)
display e(n_cf)
generate rssB = e(rss)
generate KB = e(n_cf)

* Step 3 of F test - all markets (restricted model)
xtpcse ..etc..
display e(rss)
display e(n_cf)
generate rssR = e(rss)
generate KR = e(n_cf)
generate N = e(N)

* Step 4 of F test - do the math
generate rssU = rssS + rssB
generate KU = KS + KB

generate Fcalc = ((rssR-rssU)/(KU-KR))/(rssU/(N-KU))
display Fcalc
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