<>
You probably want - vce(robust)- for your varcov. With the standard errors
changing under the new estimator for the varcov, the F-test must change as
well - which you can observe in the example below.
*************
sysuse auto, clear
reg pr we tr disp
di in red "F-statistic: " e(F)
reg pr we tr disp, vce(robust)
di in red "F-statistic: " e(F)
*************
HTH
Martin
-----Ursprüngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von Carola Herrera
Gesendet: Donnerstag, 28. Mai 2009 22:24
An: [email protected]
Betreff: st: Heteroskedasticity-robust F statistic and t statistic
Good morning,
How do I compute heteroskedasticy-robust F statistic for an OLS regression?
If I use reg with , robust (cluster)
are the t statistics obtained robust to heteroskedasticity or do I need
another command?
Any help on this question will be appreciated (I have been looking at STATa
help and FAQ files but I am still not clear on these distinctions)
Thanks
Carola
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