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st: AW: RE: AW: RE: F-test Stata reg..., robust
From
"Julian Dragendorf" <[email protected]>
To
<[email protected]>
Subject
st: AW: RE: AW: RE: F-test Stata reg..., robust
Date
Fri, 20 Aug 2010 12:10:00 +0200
Thanks for the quick response!
Below (1) I show the outputs with "reg,..., robust" STATA and (2) EVIEWs
with white hetero-const- st errors. As u see everything is equal except the
f-test! Why?
(1) STATA
F( 3, 182) = 2.42
Prob > F = 0.0676
R-squared = 0.0596 adjusted R2= 0.04412889
Root MSE = 12.535
Robust
Y Coef. Std. Err. t P>t [95% Conf. Interval]
X1 3.487523 2.421257 1.44 0.151 -1.289821
8.264866
X2 -1.118751 2.103527 -0.53 0.595 -5.269187
3.031685
X3 0.305943 0.1843521 1.66 0.099 -0.0577991
0.6696852
cons -0.137852 1.45166 -0.09 0.924 -3.0021 2.726396
(2) EVIEWs:
White Heteroskedasticity-Consistent Standard Errors & Covariance
Coefficient Std. Error t-Statistic Prob.
X1 3.487523 2.421257 1.440377 0.1515
X2 -1.118751 2.103527 -0.531845 0.5955
X3 0.305943 0.184352 1.659559 0.0987
C -0.137852 1.45166 -0.094962 0.9244
R-squared 0.05963
Adjusted R-squared 0.044129 S.D. dependent var
12.82129
S.E. of regression 12.5352 Akaike info criterion 7.91623
Sum squared resid 28597.9 Schwarz criterion
7.985601
Log likelihood -732.2094 Hannan-Quinn criter.
7.944341
F-statistic 3.846913 Durbin-Watson stat
1.868423
Prob(F-statistic) 0.010593
-----Ursprüngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von DE SOUZA Eric
Gesendet: Freitag, 20. August 2010 11:58
An: '[email protected]'
Betreff: st: RE: AW: RE: F-test Stata reg..., robust
Which standard errors don't change?
In the example below, without robust you get the OLS standard errors for the
coefficients, whereas with the robust option you get the robustified
standard errors:
. webuse auto
. reg mpg weight foreign price
Source | SS df MS Number of obs =
74
-------------+------------------------------ F( 3, 70) =
45.93
Model | 1620.30716 3 540.102388 Prob > F =
0.0000
Residual | 823.152295 70 11.7593185 R-squared =
0.6631
-------------+------------------------------ Adj R-squared =
0.6487
Total | 2443.45946 73 33.4720474 Root MSE =
3.4292
----------------------------------------------------------------------------
--
mpg | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
weight | -.0067758 .0009048 -7.49 0.000 -.0085805
-.0049712
foreign | -1.855891 1.289063 -1.44 0.154 -4.426846
.7150641
price | .0000566 .0001922 0.29 0.769 -.0003268
.00044
_cons | 41.95948 2.377726 17.65 0.000 37.21725
46.7017
----------------------------------------------------------------------------
--
. reg mpg weight foreign price, robust
Linear regression Number of obs =
74
F( 3, 70) =
62.39
Prob > F =
0.0000
R-squared =
0.6631
Root MSE =
3.4292
----------------------------------------------------------------------------
--
| Robust
mpg | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
weight | -.0067758 .0006777 -10.00 0.000 -.0081274
-.0054243
foreign | -1.855891 1.419701 -1.31 0.195 -4.687396
.9756145
price | .0000566 .0002061 0.27 0.784 -.0003545
.0004677
_cons | 41.95948 1.733047 24.21 0.000 38.50302
45.41593
----------------------------------------------------------------------------
--
Eric de Souza
Professor, European Economic Studies
Director, Library
College of Europe
Dyver 11
BE-8000 Brugge (Bruges)
Belgium
Tel.: (32.(0)50) 47 72 23
Fax:: (32 (0)50) 47 71 10
http://www.coleurope.eu
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Julian Dragendorf
Sent: 20 August 2010 11:52
To: [email protected]
Subject: st: AW: RE: F-test Stata reg..., robust
Thx! But then the St. Errors should change also! or? But st. errors stay the
same! And MSS and RSS are not displayed automatically but used a command to
get the information "display e(mss)"!
-----Ursprüngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von DE SOUZA Eric
Gesendet: Freitag, 20. August 2010 11:24
An: '[email protected]'
Betreff: st: RE: F-test Stata reg..., robust
Robustification only affects the variances and the covariances.
Coefficients stay the same, which means that Model SS, Residual SS and d.f.
remains the same.
But the F-test should take into account the new variances and covariances
calculated under robustification.
Why don't you post some output using a commonly accessible file such as
auto.dta webuse auto will get you the file
By the way, Stata v10.1 does not produce the model ss, residual ss, under
robustification.
Eric de Souza
College of Europe
Brugge (Bruges)
Belgium
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Julian Dragendorf
Sent: 20 August 2010 11:13
To: [email protected]
Subject: st: F-test Stata reg..., robust
Hello!
I have a short question regarding the F-test for STATA 10.0 and EVIEWs 6.0
when using a simple OLS multiple regression model: If I use the Stata
command "reg..., robust" to estimate a multiple regression model I get the
same coef., std. err, t-stat and r2 as if I use Eviews OLS regression with
white heteroskedasticity-const std error & covariance. However, the only
thing which differs is the F-test which is higher for Eviews than for Stata.
When I use the Model SS, Residual SS and the respective d.f. of model
estimated with STATA I can calculate the F-test manually whereby I get out
the same F-test as in Eviews. Does somebody know why there is a difference
in the F-test but everything else is equal when using STATA (reg...,robust)
and Eviews (reg with white hetero. consist. st errors)?
Many thanks!
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