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Re: st: F-test with robust standard errors


From   Austin Nichols <[email protected]>
To   [email protected]
Subject   Re: st: F-test with robust standard errors
Date   Mon, 21 Mar 2011 15:37:16 -0400

Veronika <[email protected]>:
You cannot test all FE=0 with a VCE of rank #FE but -xtreg, fe- gives
such a test by default (at the bottom of its output).
See also the thread c.
http://www.stata.com/statalist/archive/2009-08/msg01094.html

On Mon, Mar 21, 2011 at 3:05 PM, Veronika <[email protected]> wrote:
> Dear statalisters,
>
> I would like to test the hypothesis that a group of parameters jointly equal
> zero.
>
> This is the setting of the problem: I have a panel of firms that I follow
> over time, measuring yearly output. I also identify managers changing
> between firms. This is a simulated data that I use to try out the methods
> before I start working on the real data. I have constructed the data so that
> it consists of firm effects, year effects and heteroskedasticity between
> firms, but no effects of managers. I want to test H0 that the effects of
> managers jointly equal zero (and H0 is true). I use the following command
> (the third line giving the test results of special interest to me):
>
> xtset firm year
> xtreg output year2-year20 manager2-manager100, fe vce(robust)
> testparm manager2-manager100
>
> However, the results show that managers have a highly significant
> "explaining power". I have resampled many times and I can always reject H0.
> This is not the case if i don't use the "vce(robust)"-option (then
> F-statistic and p-values are ok).
>
> So my question is: What command should I use to test the hypothesis that the
> manager effects equal zero, if I still want to have robust standard errors
> (and F-statistic)? Appearently, the testparm-command doesn´t give me what
> I'm searching for...
>
> Thanks!
>
> Veronika

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