Dear Statalist members,
I have realized that the p-value for the null hypothesis (regression
coefficient = zero given that the rest of the predictors are in the
model) does not change when level (CI) is altered.
Why is the alpha for the p-value calculation in the z distribution
fixed, and is this true for other regression models as well?
Thanks
Diego
______________________
see below three examples with level set at 99, 90 and 95.
xi3: poisson dep i.ind, vce(cluster _set) irr level(99)
Iteration 0: log pseudolikelihood = -21326.6
Iteration 1: log pseudolikelihood = -21326.6
Poisson regression Number of obs = 39500
Wald chi2(1) = 3.03
Prob > chi2 = 0.0819
Log pseudolikelihood = -21326.6 Pseudo R2 = 0.0001
(Std. Err. adjusted for 8351 clusters in _set)
------------------------------------------------------------------------------
| Robust
dep| IRR Std. Err. z P>|z| [99% Conf. Interval]
-------------+----------------------------------------------------------------
_Iind | 1.034227 .0200087 1.74 0.082 .9839511 1.087072
------------------------------------------------------------------------------
. xi3: poisson dep i.ind, vce(cluster _set) irr level(95)
Iteration 0: log pseudolikelihood = -21326.6
Iteration 1: log pseudolikelihood = -21326.6
Poisson regression Number of obs = 39500
Wald chi2(1) = 3.03
Prob > chi2 = 0.0819
Log pseudolikelihood = -21326.6 Pseudo R2 = 0.0001
(Std. Err. adjusted for 8351 clusters in _set)
------------------------------------------------------------------------------
| Robust
dep | IRR Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
_Iind | 1.034227 .0200087 1.74 0.082 .9957449 1.074196
------------------------------------------------------------------------------
. xi3: poisson dep i.ind vce(cluster _set) irr level(90)
Iteration 0: log pseudolikelihood = -21326.6
Iteration 1: log pseudolikelihood = -21326.6
Poisson regression Number of obs = 39500
Wald chi2(1) = 3.03
Prob > chi2 = 0.0819
Log pseudolikelihood = -21326.6 Pseudo R2 = 0.0001
(Std. Err. adjusted for 8351 clusters in _set)
------------------------------------------------------------------------------
| Robust
dep | IRR Std. Err. z P>|z| [90% Conf. Interval]
-------------+----------------------------------------------------------------
_Iind | 1.034227 .0200087 1.74 0.082 1.001834 1.067668
------------------------------------------------------------------------------
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