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st: AW: Missing F statistics.
From
"Martin Weiss" <[email protected]>
To
<[email protected]>
Subject
st: AW: Missing F statistics.
Date
Tue, 22 Jun 2010 13:51:26 +0200
<>
This topic comes up from time to time. Try searching in the archive for
"missing f statistic" first...
HTH
Martin
-----Ursprüngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von natasha agarwal
Gesendet: Dienstag, 22. Juni 2010 13:47
An: [email protected]
Betreff: st: Missing F statistics.
Dear Everyone,
I am trying to estimate an augmented production using a within
estimator on an unbalanced panel data. Panel Identifier in my case is
a firm.
When I cluster at the industry level, I get a missing F statistics.
where fs1fs10 is an interaction term of FDI in that industry with an
industry dummy (lnvfdi*i1). The same is done for all the 10 industries
in the dataset
xtreg lnrval lnk lnw lnvfdi fs1 fs3-fs10 y14-y18, fe vce(cluster indm)
Fixed-effects (within) regression Number of obs =
6147
Group variable: number Number of groups =
1609
R-sq: within = 0.5130 Obs per group: min =
1
between = 0.2057 avg =
3.8
overall = 0.2103 max =
5
F(6,9) =
.
corr(u_i, Xb) = -0.7352 Prob > F =
.
(Std. Err. adjusted for 10 clusters in
indm)
----------------------------------------------------------------------------
--
| Robust
lnrval | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
lnk | .2022405 .0217397 9.30 0.000 .1530619
.251419
lnw | .7147967 .0178031 40.15 0.000 .6745233
.7550701
lnvfdi | .1595684 .0414696 3.85 0.004 .0657577
.2533791
fs1 | -.500915 .0377129 -13.28 0.000 -.5862277
-.4156024
fs2 | -.1892681 .02731 -6.93 0.000 -.2510477
-.1274886
fs4 | -.0979289 .0794079 -1.23 0.249 -.277562
.0817043
fs5 | -.1276782 .0345498 -3.70 0.005 -.2058353
-.0495212
fs6 | -.1352529 .0165971 -8.15 0.000 -.1727981
-.0977077
fs7 | -.2112656 .0191332 -11.04 0.000 -.2545478
-.1679833
fs8 | .2629032 .0671154 3.92 0.004 .1110776
.4147287
fs9 | .0308106 .0489407 0.63 0.545 -.0799009
.1415222
fs10 | -.2493683 .0194207 -12.84 0.000 -.2933011
-.2054355
y14 | -.1692296 .0617547 -2.74 0.023 -.3089283
-.0295308
y15 | -.0790967 .0418282 -1.89 0.091 -.1737186
.0155253
y16 | -.067962 .0334897 -2.03 0.073 -.1437211
.0077971
y17 | -.1063753 .0221839 -4.80 0.001 -.1565587
-.0561919
y18 | (dropped)
_cons | -.7143403 .6204304 -1.15 0.279 -2.117851
.6891708
-------------+--------------------------------------------------------------
--
sigma_u | 1.4145653
sigma_e | .38918461
rho | .92963183 (fraction of variance due to u_i)
----------------------------------------------------------------------------
--
When I cluster it at the firm level, it works fine.
Fixed-effects (within) regression Number of obs =
6147
Group variable: number Number of groups =
1609
R-sq: within = 0.5130 Obs per group: min =
1
between = 0.2057 avg = 3.8
overall = 0.2103 max = 5
F(16,1608) = 155.17
corr(u_i, Xb) = -0.7352 Prob > F =
0.0000
(Std. Err. adjusted for 1609 clusters in number)
Robust
lnrval Coef. Std. Err. t P>t [95% Conf. Interval]
lnk .2022405 .0190487 10.62 0.000 .1648776 .2396033
lnw .7147967 .0259381 27.56 0.000 .6639206 .7656728
lnvfdi .1595684 .1151602 1.39 0.166 -.0663116 .3854483
fs1 -.500915 .3712889 -1.35 0.177 -1.229176 .2273461
fs2 -.1892681 .1189724 -1.59 0.112 -.4226254 .0440892
fs4 -.0979289 .1353951 -0.72 0.470 -.3634983 .1676406
fs5 -.1276782 .1347357 -0.95 0.343 -.3919543 .1365979
fs6 -.1352529 .117889 -1.15 0.251 -.3664851 .0959794
fs7 -.2112656 .1401514 -1.51 0.132 -.4861641 .063633
fs8 .2629032 .1889839 1.39 0.164 -.1077774 .6335838
fs9 .0308106 .153413 0.20 0.841 -.2700999 .3317212
fs10 -.2493683 .1234036 -2.02 0.043 -.4914171 -.0073195
y14 -.1692296 .036587 -4.63 0.000 -.2409928 -.0974664
y15 -.0790967 .026678 -2.96 0.003 -.131424 -.0267693
y16 -.067962 .0189171 -3.59 0.000 -.1050667 -.0308573
y17 -.1063753 .0154075 -6.90 0.000 -.1365962 -.0761544
y18 (dropped)
_cons -.7143403 .4764399 -1.50 0.134 -1.648849 .2201682
sigma_u 1.4145653
sigma_e .38918461
rho .92963183 (fraction of variance due to u_i)
Can anyone please help me explain why is this happening?
Thanks
Natasha
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