F-tests are ratios of variances. When you start talking about
-robust-, it means you do not think there is a common variance
anymore, so Stata does not provide neither the variances themselves
nor their ratios. A perfectly sensible answer.
You can follow up through the mechanics of the F-test, but what you
will get in the end is a random variable with unknown distribution...
probably a ratio of two complicated quadratic forms in normal
variables, neither of which has a chi-square distribution, to begin
with.
On Fri, Apr 25, 2008 at 2:17 PM, <[email protected]> wrote:
> Hi everyone,
>
> Just a short and probably trivial question,
> why when estimating using xtreg, fe when I control bu robust or cluster-robust standard
> errors, Stata does not show (and does not calculate as it is not saved on the e()) the
> F-test for all the individual u_i effects being zero?
> Can I calculate this test myself after using xtreg, fe cluster?
> Thank you
>
--
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: Please do not reply to my Gmail address as I don't check
it regularly.
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