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| From | Veronika <angela.djupsjobacka@abo.fi> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | st: F-test with robust standard errors |
| Date | Mon, 21 Mar 2011 12:05:24 -0700 (PDT) |
Dear statalisters, I would like to test the hypothesis that a group of parameters jointly equal zero. This is the setting of the problem: I have a panel of firms that I follow over time, measuring yearly output. I also identify managers changing between firms. This is a simulated data that I use to try out the methods before I start working on the real data. I have constructed the data so that it consists of firm effects, year effects and heteroskedasticity between firms, but no effects of managers. I want to test H0 that the effects of managers jointly equal zero (and H0 is true). I use the following command (the third line giving the test results of special interest to me): xtset firm year xtreg output year2-year20 manager2-manager100, fe vce(robust) testparm manager2-manager100 However, the results show that managers have a highly significant "explaining power". I have resampled many times and I can always reject H0. This is not the case if i don't use the "vce(robust)"-option (then F-statistic and p-values are ok). So my question is: What command should I use to test the hypothesis that the manager effects equal zero, if I still want to have robust standard errors (and F-statistic)? Appearently, the testparm-command doesn´t give me what I'm searching for... Thanks! Veronika -- View this message in context: http://statalist.1588530.n2.nabble.com/F-test-with-robust-standard-errors-tp6193538p6193538.html Sent from the Statalist mailing list archive at Nabble.com. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/