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  • How to interpret the F-statistics in robust regression

    Hi. I have this dataset where my F-statistic is 3.47. However, the model fails the White test for heteroskedastic residuals, so I a run a VCE robust regression. Now my F-statistic is only 0.92 (P-vlue: 0.4996).

    Is this a problem for the further analysis? Do I interpret this F-statistic in my robust regression the same way as in the "regular" regression?
    I'm not trying to find an "appreciate" model for some forecasting, etc. The goal is to perform various other hypothesis testing.

  • #2
    Thomas:
    it would seem that, solved the heteroskedsticity issue, your model shows coefficients which are not significantly different from zero, when considered together.
    It's quite surprising that, once corrected for heteroskedasticity, F-statistic drops that much. Have you checked that no observation played unduly influence in the first regession model?
    It is difficult (for me at least) to comment on any further without seeing what you typed and what Stata gave you back.
    Kind regards,
    Carlo
    (Stata 19.0)

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