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st: AW: RE: F-test Stata reg..., robust
From
"Julian Dragendorf" <[email protected]>
To
<[email protected]>
Subject
st: AW: RE: F-test Stata reg..., robust
Date
Fri, 20 Aug 2010 11:51:53 +0200
Thx! But then the St. Errors should change also! or? But st. errors stay the
same! And MSS and RSS are not displayed automatically but used a command to
get the information "display e(mss)"!
-----Ursprüngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von DE SOUZA Eric
Gesendet: Freitag, 20. August 2010 11:24
An: '[email protected]'
Betreff: st: RE: F-test Stata reg..., robust
Robustification only affects the variances and the covariances.
Coefficients stay the same, which means that Model SS, Residual SS and d.f.
remains the same.
But the F-test should take into account the new variances and covariances
calculated under robustification.
Why don't you post some output using a commonly accessible file such as
auto.dta
webuse auto
will get you the file
By the way, Stata v10.1 does not produce the model ss, residual ss, under
robustification.
Eric de Souza
College of Europe
Brugge (Bruges)
Belgium
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Julian Dragendorf
Sent: 20 August 2010 11:13
To: [email protected]
Subject: st: F-test Stata reg..., robust
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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