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st: F-test Stata reg..., robust
From
"Julian Dragendorf" <[email protected]>
To
<[email protected]>
Subject
st: F-test Stata reg..., robust
Date
Fri, 20 Aug 2010 11:12:54 +0200
Hello!
I have a short question regarding the F-test for STATA 10.0 and EVIEWs 6.0
when using a simple OLS multiple regression model: If I use the Stata
command ?reg..., robust? to estimate a multiple regression model I get the
same coef., std. err, t-stat and r2 as if I use Eviews OLS regression with
white heteroskedasticity-const std error & covariance. However, the only
thing which differs is the F-test which is higher for Eviews than for Stata.
When I use the Model SS, Residual SS and the respective d.f. of model
estimated with STATA I can calculate the F-test manually whereby I get out
the same F-test as in Eviews. Does somebody know why there is a difference
in the F-test but everything else is equal when using STATA (reg?,robust)
and Eviews (reg with white hetero. consist. st errors)?
Many thanks!
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