Re: st: RE: regress with vce(robust) and hascons

[Steven Samuels <sjsamuels@gmail.com>]

According to the manual pages that Eric referenced, with the -hascons-  
option,  the F test should test for the difference in intercepts.   
Michael's question is: why does the addition of  the -vce(robust)-  
option alter this? It looks like a bug to me, but only someone from  
StataCorp can tell us for sure.

Steve
sjsamuels@gmail.com

On Dec 13, 2010, at 8:56 AM, DE SOUZA Eric wrote:

I still have to digest the information, but there is a discussion  
linked to the issue you raise in the manuals
See page 1521 of -regress- for a comparison of hascons and nocons
and page 1524 of -regress- for a discussion of F tests with and  
without hascons
Combining these two should provide the answer.


Eric de Souza
College of Europe
BE-8000 Brugge (Bruges)
Belgium

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu 
] On Behalf Of Michael N. Mitchell
Sent: 13 December 2010 09:43
To: Statalist
Subject: st: regress with vce(robust) and hascons

Greetings

  I am puzzled by the behavior of Stata when I include the - 
vce(robust)- option along with the -hascons- option.

  Consider the example below in which I estimate a model predicting - 
price- from
-foreign- but do so using a cell means model by specifying ibn.foreign  
and thus include the -hascons- option. I further want robust standard  
errors so specify the -vce(robust)- option.

. sysuse auto, clear
(1978 Automobile Data)
. regress price ibn.foreign, vce(robust) hascons

Linear regression                                      Number of obs  
=      74
                                                       F(  2,    72)  
=  165.64
                                                       Prob > F       
=  0.0000
                                                       R-squared      
=  0.0024
                                                       Root MSE       
=  2966.4

------------------------------------------------------------------------------
             |               Robust
       price |      Coef.   Std. Err.      t    P>|t|     [95% Conf.  
Interval]
-------------+----------------------------------------------------------
-------------+------
     foreign |
          0  |   6072.423   431.2084    14.08   0.000     5212.825     
6932.021
          1  |   6384.682   553.6754    11.53   0.000      5280.95     
7488.413
             |
       _cons |  (omitted)
------------------------------------------------------------------------------

  The omnibus F test shows 2 degrees of freedom, but I only expected  
1 df. The omnibus F test appears to be testing the joint hypothesis  
that each of the cell means is 0 (see below).

. test 0.foreign 1.foreign

 ( 1)  0bn.foreign = 0
 ( 2)  1.foreign = 0

       F(  2,    72) =  165.64
            Prob > F =    0.0000

  But because I specified -hascons- I expect it to test the equality  
of the cell means.
 This is the case when I omit the -vce(robust)-, as shown below.

. regress price ibn.foreign, hascons

      Source |       SS       df       MS              Number of obs  
=      74
-------------+------------------------------           F(  1,    72)  
=    0.17
       Model |  1507382.66     1  1507382.66           Prob > F       
=  0.6802
    Residual |   633558013    72  8799416.85           R-squared      
=  0.0024
-------------+------------------------------           Adj R-squared =  
-0.0115
       Total |   635065396    73  8699525.97           Root MSE       
=  2966.4

------------------------------------------------------------------------------
       price |      Coef.   Std. Err.      t    P>|t|     [95% Conf.  
Interval]
-------------+----------------------------------------------------------
-------------+------
     foreign |
          0  |   6072.423    411.363    14.76   0.000      
5252.386     6892.46
          1  |   6384.682   632.4346    10.10   0.000     5123.947     
7645.417
------------------------------------------------------------------------------

  In this case, the omnibus F test matches the test of the equality  
of the cell means.

. test 0.foreign = 1.foreign

 ( 1)  0bn.foreign - 1.foreign = 0

       F(  1,    72) =    0.17
            Prob > F =    0.6802

  Perhaps someone can help me understand where I am askew in my  
thinking about this.

Many thanks,

Michael N. Mitchell
Data Management Using Stata      - http://www.stata.com/bookstore/dmus.html
A Visual Guide to Stata Graphics - http://www.stata.com/bookstore/vgsg.html
Stata tidbit of the week         - http://www.MichaelNormanMitchell.com
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