Thanks. This is exactly what I was looking for.
Meryle
----- Original Message -----
From: Roger Newson <[email protected]>
Date: Sunday, December 18, 2005 12:02 pm
Subject: st: RE: F statistic after a clustered regression
> Stata does not calculate an F-statistic after a clustered
> regression because
> the clustered regression uses Huber variances, which are
> calculated without
> assuming that the observations are independent and homoskedastic
> (ie equally
> variable). The F-test statistic is calculated using the assumption
> thatobservations are independent and homoskedastic, and is
> therefore not
> appropriate for use in a clustered regression analysis. To carry out
> multi-dimensional hhypothesis tests for a clustered regression
> model, use
> the -test- command.
>
> I hope this helps.
>
> Roger
>
> --
> Roger Newson
> Lecturer in Medical Statistics
> Department of Public Health Sciences
> Division of Asthma, Allergy and Lung Biology
> King's College London
>
> 5th Floor, Capital House
> 42 Weston Street
> London SE1 3QD
> United Kingdom
>
> Tel: 020 7848 6648 International +44 20 7848 6648
> Fax: 020 7848 6620 International +44 20 7848 6620
> or 020 7848 6605 International +44 20 7848 6605
> Email: [email protected]
> Website: http://phs.kcl.ac.uk/rogernewson/
>
> Opinions expressed are those of the author, not the institution.
>
>
> CCarolyn Zhu wrote:
>
> 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_respaidhelp 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_respaidhelp 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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