The manuals certainly explain why a cluster-robust test differs from one
that is not cluster-robust. As well as the User's Guide, there are
discussions in the programming manual and under various estimation
commands (notably -regress-).
--Mark
> Thanks for the suggestion. I checked and did not find information on F
> test
> when cluster() is discussed. I checked user's guide for stata 7.0.
>
> Any other advice?
>
> Alice
>
>
>
>
>
>
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]]On Behalf Of Mark Schaffer
> Sent: Thursday, September 15, 2005 11:07 AM
> To: [email protected]
> Cc: [email protected]
> Subject: Re: st: RE: Joint F test in the panel data when cluster option
> used
>
>
> Have you read the Stata manuals? A good place to start would be the
> User's Guide entry on "Obtaining robust variance estimates".
>
> --Mark
>
>> I have searched google and did not find much infomation.
>> I would appreciate any suggestion on how to find out the right answer.
>>
>> Thank you,
>>
>> Alice
>>
>>
>>
>>
>>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]]On Behalf Of Alice(Libo)
>> Sun
>> Sent: Wednesday, September 14, 2005 10:44 PM
>> To: [email protected]
>> Subject: st: Joint F test in the panel data when cluster option used
>>
>>
>> Dear Statalist,
>>
>> I have a question regarding joint F tests for a panel data. Stata gives
>> me
>> different F tests if I add/drop cluster(ID) option.I wonder which one is
>> correct. Does it vary to which model I use, OLS, ordered probit, logit?
>>
>> Appreciate your suggesion.
>>
>> The following is my example:
>>
>> The panel dataset contains 50 firms over 10 years. I run the following
>> regression:
>>
>> "
>> regress Y X1 x2 x3 x4, cluster(firmID)
>>
>> test x2 x3
>> "
>>
>> Stata gives me result for F(2,49).
>>
>> Is that the wrong joint F test?
>>
>> If I drop cluster() option and run the above regression and tests, stata
>> gives me F(2,495).
>> Is that the right one?
>>
>>
>> I tried ordered probit model for the panel data, stats gives me
>> different
>> chi2(2) with or without cluster() added.
>>
>> Thank you,
>>
>> Alice Sun
>>
>>
>>
>> *
>> * For searches and help try:
>> * http://www.stata.com/support/faqs/res/findit.html
>> * http://www.stata.com/support/statalist/faq
>> * http://www.ats.ucla.edu/stat/stata/
>> *
>> * For searches and help try:
>> * http://www.stata.com/support/faqs/res/findit.html
>> * http://www.stata.com/support/statalist/faq
>> * http://www.ats.ucla.edu/stat/stata/
>>
>
>
> Prof. Mark Schaffer
> Director, CERT
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS
> tel +44-131-451-3494 / fax +44-131-451-3294
> email: [email protected]
> web: http://www.sml.hw.ac.uk/ecomes
>
>
>
> __________________________________________________________________
>
> DISCLAIMER:
>
> This e-mail message is subject to http://www.hw.ac.uk/disclaim.htm
> __________________________________________________________________
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
__________________________________________________________________
DISCLAIMER:
This e-mail message is subject to http://www.hw.ac.uk/disclaim.htm
__________________________________________________________________
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
