thank you very much
now is perfectly clear
sara
--- Maarten Buis <[email protected]> ha scritto:
> Sara:
> Rich appears to be right, the problem does indeed
> appear to be the
> degrees of freedom. The p-values are calculated
> using a
> t-distribution not a normal distribution, whereby
> the number of
> degrees of freedom are N - number of variables - 1.
> However if the
> number of degrees of freedom is large the t is well
> approximated
> by a normal, and 1627 degrees of freedom is more
> than enough to
> make this approximation work extremely well.
> However, with the
> cluster option the degrees of freedom are determined
> by the number
> of clusters (since these are now the number of
> independent bits of
> information, not the number observations). So if you
> have few
> clusters the normal approximation may no longer
> work. Stata stores
> the appropriate degrees of freedom in e(df_r), so
> you can use that
> to recreate the p-values, like in the example below:
>
> HTH,
> Maarten
>
> *-----------------begin example----------------
> sysuse auto, clear
> reg price mpg foreign, cluster(rep78)
> di "t = " abs(_b[mpg]/_se[mpg])
> di "df = " e(df_r)
> di "p = " 2*ttail(e(df_r),abs(_b[mpg]/_se[mpg]))
> di "p is not " 2*norm(-abs(_b[mpg]/_se[mpg]))
> *-----------------end example-------------------
>
> -----------------------------------------
> Maarten L. Buis
> Department of Social Research Methodology
> Vrije Universiteit Amsterdam
> Boelelaan 1081
> 1081 HV Amsterdam
> The Netherlands
>
> visiting adress:
> Buitenveldertselaan 3 (Metropolitan), room Z434
>
> +31 20 5986715
>
> http://home.fsw.vu.nl/m.buis/
> -----------------------------------------
>
> ---sara borelli wrote:
> > in my regression I have N=1647 and have 19
> variables.
> > To calculate the P-values I used the tables of the
> > standard normal distribution as in the standard
> way to
> > calculate the P-values.
>
>
> --- Richard Goldstein wrote:
> > > sounds like a problem with you're getting the
> > > degrees of freedom correct
>
> --- sara borelli wrote:
> > > > But when I use cluster, the p-values look
> "wrong",
> > > > that is if I calculate the p-value using the
> > > > "new-clustered" t-statistics and the
> statistical
> > > > tables I get a result that is different from
> the
> > > > stata output
>
>
> *
> * 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/
>
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