st: F statistic after a clustered regression

["Zhu, Carolyn" <carolyn.zhu@mssm.edu>]

Title: F statistic after a clustered regression

Hello listers,

Would anybody tell me what it means when stata does not compute an F statistic after a clustered regression? The estimation results with and without the cluster option are provided below.

Thanks.

. regress loc_fim2_nod katjanine loc_fim1 demented age1 male rand nh_res paidhelp fnnondisp fndisp clin_ab_admt_dum _Isite_2 _Isite_3 _Isite_4

      Source |       SS       df       MS              Number of obs =     464
-------------+------------------------------           F( 14,   449) =   18.86
       Model |  2495.89099    14  178.277928           Prob > F      =  0.0000
    Residual |  4243.41074   449  9.45080342           R-squared     =  0.3703
-------------+------------------------------           Adj R-squared =  0.3507
       Total |  6739.30172   463  14.5557273           Root MSE      =  3.0742

------------------------------------------------------------------------------
loc_fim2_nod |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
   katjanine |   .0987764   .0380182     2.60   0.010     .0240608    .1734921
… more estimates
    _Isite_2 |  -.6510725   .4850485    -1.34   0.180     -1.60432    .3021745
    _Isite_3 |   -.671119   .5081955    -1.32   0.187    -1.669856    .3276179
    _Isite_4 |  -.0978212    .585194    -0.17   0.867     -1.24788    1.052238
       _cons |   6.814154    1.96921     3.46   0.001     2.944142    10.68417
------------------------------------------------------------------------------

. regress loc_fim2_nod katjanine loc_fim1 demented age1 male rand nh_res paidhelp fnnondisp fndisp clin_ab_admt_dum _Isite_2 _Isite_3 _Isite_4, robust cluster(site)

Regression with robust standard errors                 Number of obs =     464
                                                       F(  2,     3) =       .
                                                       Prob > F      =       .
                                                       R-squared     =  0.3703
Number of clusters (site) = 4                          Root MSE      =  3.0742

------------------------------------------------------------------------------
             |               Robust
loc_fim2_nod |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
   katjanine |   .0987764   .0249159     3.96   0.029     .0194828    .1780701
… more estimates
    _Isite_2 |  -.6510725   .0513326   -12.68   0.001    -.8144356   -.4877094
    _Isite_3 |   -.671119   .2526669    -2.66   0.077    -1.475218    .1329796
    _Isite_4 |  -.0978212   .1077007    -0.91   0.431     -.440573    .2449306
       _cons |   6.814154    1.29869     5.25   0.013     2.681142    10.94717
------------------------------------------------------------------------------

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