A few days ago i made a post and some of my questions answered very well.
But there's still a lil bit of confusion in Fixed Effect Model particularly F-test for Individual Effect Dummies (testparm) with Fixed Effect Robust Standard Error.
So here it is:
After using vce(robust) option for xtreg, fe command, i couldn't get my F-test (joint test) for my individual effect dummies (u_i) that i included in my model. I know that stata omits it because someone explained it to me. But, i still want to report it on my paper, because i think it could be necesarry (or it couldn't) to report F test for u_i, to provide the reasons why i included it in my model.
I don't know is it a right assumption or not, but i assumed that we could choose to pooled or not to pooled the data, to include or not to include individiual and time effect based on these F test (F test, for u_i (time invariant effect) and δ_t (for time variant effect)).
So my question is:
How to conduct F test (that omits) for individual effect (u_i) in fixed effect with robust standard error (xtreg, fe vce(robust))?
here is how i did fixed effect model with robust SE. i still could do F test for time effect (that i assumed as δ_t or dummy variables for time effect) by doing testparm over my year dummy variables.
Code:
. xtreg Y X1 X2 i.year, fe vce(robust)
Fixed-effects (within) regression Number of obs = 222
Group variable: year Number of groups = 74
R-sq: Obs per group:
within = 0.5916 min = 3
between = 0.6470 avg = 3.0
overall = 0.6243 max = 3
F(4,73) = 100.72
corr(u_i, Xb) = 0.1511 Prob > F = 0.0000
(Std. Err. adjusted for 74 clusters in id)
------------------------------------------------------------------------------
| Robust
Y | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
X1 | .8808422 .1626354 5.42 0.000 .5567103 1.204974
X2 | 16.65939 13.84521 1.20 0.233 -10.93408 44.25285
|
year |
2017 | -.5542752 .3520155 -1.57 0.120 -1.255841 .1472906
2018 | -2.224763 .567658 -3.92 0.000 -3.356104 -1.093422
|
_cons | -.1550369 1.315367 -0.12 0.906 -2.776559 2.466485
-------------+----------------------------------------------------------------
sigma_u | 2.9370361
sigma_e | 2.7763652
rho | .52809954 (fraction of variance due to u_i)
------------------------------------------------------------------------------
. testparm i.year
( 1) 2017.year = 0
( 2) 2018.year = 0
F( 2, 73) = 7.83
Prob > F = 0.0008Code:
. reg Y X1 X2 i.id i.year, vce(robust)
Linear regression Number of obs = 222
F(77, 144) = 44.20
Prob > F = 0.0000
R-squared = 0.8589
Root MSE = 2.7764
------------------------------------------------------------------------------
| Robust
Y | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
X1 | .8808422 .166491 5.29 0.000 .5517603 1.209924
X2 | 16.65939 12.42937 1.34 0.182 -7.908193 41.22696
|
id |
APLN | .2947118 1.225192 0.24 0.810 -2.126972 2.716396
ASDM | 1.050584 1.462409 0.72 0.474 -1.839978 3.941145
ASII | 2.8694 2.413574 1.19 0.236 -1.90121 7.64001
ASJT | 2.31474 1.607534 1.44 0.152 -.8626728 5.492152
ASMI | 4.015512 1.669058 2.41 0.017 .716494 7.314531
ASRI | -3.831059 .9604417 -3.99 0.000 -5.729445 -1.932674
ASRM | 2.211627 1.556897 1.42 0.158 -.8656974 5.288952
BACA | -.0261848 .7748567 -0.03 0.973 -1.557747 1.505378
BAPA | 1.378856 1.827293 0.75 0.452 -2.232926 4.990638
BBCA | .0173037 .6407342 0.03 0.978 -1.249156 1.283763
BBMD | .3834314 .738184 0.52 0.604 -1.075645 1.842507
BBNI | .2716186 .7533377 0.36 0.719 -1.21741 1.760647
BBRI | .2827238 .6037333 0.47 0.640 -.9106003 1.476048
BBTN | -.077315 .8124557 -0.10 0.924 -1.683195 1.528565
BCIP | 2.590771 1.405957 1.84 0.067 -.1882089 5.369752
BDMN | .4528766 .9091776 0.50 0.619 -1.344181 2.249934
BEST | -2.037454 1.330063 -1.53 0.128 -4.666422 .5915147
BINA | -.1135588 .7325616 -0.16 0.877 -1.561522 1.334404
BJBR | .561522 .830212 0.68 0.500 -1.079454 2.202498
BJTM | .7062759 .9025418 0.78 0.435 -1.077666 2.490217
BKSL | -1.372539 .6198285 -2.21 0.028 -2.597676 -.1474013
BMRI | .3669541 .8332335 0.44 0.660 -1.279994 2.013903
BNBA | .3175581 .7390014 0.43 0.668 -1.143134 1.77825
BNGA | .2506866 .7081542 0.35 0.724 -1.149033 1.650406
BNII | -.0686958 .7415254 -0.09 0.926 -1.534376 1.396985
BOLT | 2.443337 4.159148 0.59 0.558 -5.777531 10.66421
BRAM | 2.319903 1.84863 1.25 0.212 -1.334053 5.973858
BSDE | 1.708504 1.436532 1.19 0.236 -1.130908 4.547917
COWL | -4.949813 1.340089 -3.69 0.000 -7.598599 -2.301026
CTRA | -.0605993 .8110554 -0.07 0.941 -1.663711 1.542513
DART | -1.910334 .9455116 -2.02 0.045 -3.779209 -.0414595
DILD | .4385749 .690611 0.64 0.526 -.9264696 1.803619
DMAS | -.8064493 1.466592 -0.55 0.583 -3.705279 2.09238
DUTI | 2.279153 .8200434 2.78 0.006 .6582761 3.900031
FMII | -5.050991 3.634907 -1.39 0.167 -12.23566 2.133676
GMTD | 1.609945 .7361016 2.19 0.030 .154985 3.064905
GPRA | .7070048 .9660833 0.73 0.465 -1.202531 2.616541
INDS | .3487059 2.395833 0.15 0.884 -4.386837 5.084249
JRPT | 4.44845 1.494431 2.98 0.003 1.494595 7.402305
JTPE | .834028 3.572804 0.23 0.816 -6.227887 7.895942
KIJA | -2.493057 1.432208 -1.74 0.084 -5.323924 .3378107
LINK | 5.043667 4.371182 1.15 0.250 -3.596301 13.68364
LPCK | 6.240876 6.955493 0.90 0.371 -7.507178 19.98893
LPGI | 1.179102 .8410096 1.40 0.163 -.4832171 2.84142
LPKR | .7737229 1.459914 0.53 0.597 -2.111906 3.659352
MARI | 4.511691 6.4431 0.70 0.485 -8.22358 17.24696
MDIA | 3.637022 4.998187 0.73 0.468 -6.242271 13.51631
MDLN | -5.018098 2.952339 -1.70 0.091 -10.85362 .8174219
MEGA | 3.629563 3.339883 1.09 0.279 -2.971967 10.23109
MKPI | 5.926182 2.035153 2.91 0.004 1.903549 9.948814
MMLP | .8126784 2.50436 0.32 0.746 -4.137377 5.762734
MNCN | 1.6835 2.823976 0.60 0.552 -3.898301 7.265301
MREI | 2.293249 1.157294 1.98 0.049 .0057712 4.580727
MTLA | 3.542054 1.936665 1.83 0.069 -.2859105 7.370019
MYRX | -2.469469 .7999408 -3.09 0.002 -4.050612 -.8883258
NISP | .0944043 .7654037 0.12 0.902 -1.418474 1.607282
PLIN | 1.818417 3.990349 0.46 0.649 -6.068808 9.705643
PNBN | -.5133411 .6766237 -0.76 0.449 -1.850739 .8240564
PNIN | 1.555931 .8908233 1.75 0.083 -.2048478 3.31671
PPRO | -7.645823 1.93914 -3.94 0.000 -11.47868 -3.812969
PWON | .827668 1.376719 0.60 0.549 -1.89352 3.548856
RDTX | 1.647971 1.343093 1.23 0.222 -1.006753 4.302695
RODA | .2733828 1.023854 0.27 0.790 -1.750341 2.297106
SCBD | 2.449009 .9853489 2.49 0.014 .5013928 4.396625
SCMA | 11.37837 6.599241 1.72 0.087 -1.66552 24.42227
SDRA | -.2775776 .5947717 -0.47 0.641 -1.453188 .8980333
SMDM | -.2651635 .9403621 -0.28 0.778 -2.12386 1.593533
SMRA | -.8117748 .9704148 -0.84 0.404 -2.729872 1.106323
SMSM | 7.956638 7.70801 1.03 0.304 -7.278821 23.1921
TARA | -1.243613 1.169836 -1.06 0.290 -3.555881 1.068655
TLKM | 4.399757 4.520706 0.97 0.332 -4.535757 13.33527
VINS | 2.005052 1.621869 1.24 0.218 -1.200693 5.210797
VIVA | -4.834313 4.09723 -1.18 0.240 -12.9328 3.264169
|
year |
2017 | -.5542752 .4074146 -1.36 0.176 -1.359561 .2510102
2018 | -2.224763 .5223219 -4.26 0.000 -3.257171 -1.192354
|
_cons | -1.037165 .6538399 -1.59 0.115 -2.329528 .2551992
------------------------------------------------------------------------------
. testparm i.id
( 1) 2.id = 0
( 2) 3.id = 0
( 3) 4.id= 0
.
. (to save the space)
.
(71) 72.id = 0
(72) 73.id = 0
(73) 74.id = 0
F( 73, 144) = 10.22
Prob > F = 0.0000
. testparm i.year
( 1) 2017.year = 0
( 2) 2018.year = 0
F( 2, 144) = 9.39
Prob > F = 0.0001
0 Response to F-test for Fixed Effect With Robust SE
Post a Comment