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Re: st: No F-stat reported in xtreg with clustered standard errors


From   Sjoerd van Bekkum <vanbekkum@ese.eur.nl>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: No F-stat reported in xtreg with clustered standard errors
Date   Wed, 2 Jan 2013 23:25:29 +0100

Hi Doug,

Assuming that you want to test for the joint significance of year
fixed effects (not sure from your message), a nice shortcut to obtain
F-tests after clustered regressions might be:

xi: nestreg: reg y x i.region (i.year)

This will report the common F-test as well as an F-test for
significance of the year dummies.

---

Sjoerd van Bekkum
Assistant Professor of Finance, Erasmus University, Netherlands
W  http://people.few.eur.nl/vanbekkum/    P (+31)-10-4082114   F (+31)
10 - 40 89165



On 2 January 2013 22:30, Douglas Barthold
<douglas.barthold@mail.mcgill.ca> wrote:
> Dear Statalist,
>
> I'm trying to run panel regressions using xtreg with clustered standard errors.  I'm using xtreg because I want to include region and year fixed effects.
>
> My problem is that when I include year fixed effects, Stata won't report an F-Stat, which I need.  With just region fixed effects, it works.  Any ideas why this is happening?
>
> Thanks!
> Doug
>
>
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