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


From   Douglas Barthold <douglas.barthold@mail.mcgill.ca>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: No F-stat reported in xtreg with clustered standard errors
Date   Thu, 3 Jan 2013 18:47:23 +0000

Hi Austin, thanks for your help.  I have two follow-up questions.  

I understand the problem with the degrees of freedom, but I why does Stata report an F-stat with region fixed effects included, but not when I also include year fixed effects?  (Clustering at the region level, and including a number of other linear constraints).

The partial option seems helpful.  As noted in the -ivreg2- help section, "The partial option is most useful when using cluster and #clusters < (#exogenous regressors + #excluded
instruments)".  The problem is, there is no partial option with xtivreg2, which I need for my fixed effects.  Any ideas for this?

Thanks,
Doug

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Austin Nichols
Sent: Wednesday, January 02, 2013 7:42 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: No F-stat reported in xtreg with clustered standard errors

Douglas Barthold <douglas.barthold@mail.mcgill.ca>:
The VCE does not have enough degrees of freedom; see http://ideas.repec.org/p/boc/usug07/07.html
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 <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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