st: Is my parameter significant or not?

[Herman Haugland <herman.haugland@gmail.com>]

Hi,

I would appreciate someone could provide me an answer to the following question:

I am estimating the following model:

. areg beta L.lev group#cL.lev i.year, absorb(group)

Group is a categorical variable: 1, 2
Lev is a continuous variable
Year are year effects
Group are fixed effects

Under that specification of the model, I get the following results:

. areg beta L.lev group#cL.lev i.year, absorb(group)

__________________________________________________________________

Linear regression, absorbing indicators           Number of obs   =        285
                                                  F(  17,    266) =       4.04
                                                  Prob > F        =     0.0000
                                                  R-squared       =     0.3540
                                                  Adj R-squared   =     0.3103
                                                  Root MSE        =     0.3038

------------------------------------------------------------------------------
                      beta |       Coef.       Std. Err.      t
   P>|t|        [95% Conf. Interval]
-------------+----------------------------------------------------------------
                        lev |
                       L1. |    .059685  |  .014907  |   4.00 |  0.000
   [ .0303342    .0890358]

       group#cL.lev |
                         2  |  -.0451045   .0178834    -2.52   0.012
 -.0803155   -.0098936

____________________________________________________________________

What I would like to highlight from here, is the fact that the P value
for group#cLlev 2 is significant at the 5% level.


If I run the same model in a different way, like this:

____________________________________________________________

. areg beta group#cL.lev i.year, absorb(group)

Linear regression, absorbing indicators           Number of obs   =        285
                                                  F(  17,    266) =       4.04
                                                  Prob > F        =     0.0000
                                                  R-squared       =     0.3540
                                                  Adj R-squared   =     0.3103
                                                  Root MSE        =     0.3038

------------------------------------------------------------------------------
              beta |      Coef.        Std. Err.      t         P>|t|
       [95% Conf. Interval]
-------------+----------------------------------------------------------------
group#cL.lev |
                 1  |    .059685    .014907       4.00     0.000    [
.0303342    .0890358]
                 2  |   .0145805   .0114004     1.28     0.202
[-.0078661     .037027]

________________________________________________________________


The P value for group 2 is not significant at the 5% level.


So the question is, which P-value should I consider as correct?  In
other words, is my parameter estimate significant or not?

(Please note that I get exactly the same parameter estimates from both
methods, but the associated P-values and t-values change).



Thank you for your consideration.




Med vennlig hilsen / Best regards,

Herman Haugland
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