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

From   Austin Nichols <>
Subject   Re: st: No F-stat reported in xtreg with clustered standard errors
Date   Wed, 2 Jan 2013 19:42:00 -0500

Douglas Barthold <>:
The VCE does not have enough degrees of freedom; see
which means even if it were feasible to jointly test all those coefs,
it would be a very unreliable test (F stat overstated).
You can partial out the region and year fixed effects using -ivreg2-
or -xtivreg2- (SSC); see help on the partial() option.
That assumes that you don't care about those coefs; assume they are
all nonzero so you are not interested in testing their joint
signifcance: instead of comparing to an intercept-only model as in
regular OLS, you are compariing to a many-intercept model.

On Wed, Jan 2, 2013 at 4:30 PM, Douglas Barthold
<> 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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