F statistic

[Drishta Tengur]

. xtreg lnPATR1 l.lnPATR1 preelection lninflation lngdp lnurbanisation left righ
> t lndependency lndependencyold lndependencyyoung lnpopbelow14 lnpop1564 lnpop6
> 5andabove eurozone eu lngovtexp lnwage corporate plurality proportional, fe ro
> bust
note: lnpop1564 omitted because of collinearity
note: lnpop65andabove omitted because of collinearity
note: plurality omitted because of collinearity
note: proportional omitted because of collinearity

Fixed-effects (within) regression               Number of obs     =        284
Group variable: country                         Number of groups  =         19

R-sq:                                           Obs per group:
     within  = 0.6181                                         min =         11
     between = 0.9481                                         avg =       14.9
     overall = 0.9069                                         max =         18

                                                F(16,18)          =     775.61
corr(u_i, Xb)  = 0.6284                         Prob > F          =     0.0000

                                (Std. Err. adjusted for 19 clusters in country)
-------------------------------------------------------------------------------
              |               Robust
      lnPATR1 |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
--------------+----------------------------------------------------------------
      lnPATR1 |
          L1. |   .6739116   .0829855     8.12   0.000     .4995655    .8482576
              |
  preelection |  -.0356576   .0114638    -3.11   0.006    -.0597423    -.011573
  lninflation |  -.0117881   .0103807    -1.14   0.271    -.0335971    .0100209
        lngdp |   .0025377   .0025718     0.99   0.337    -.0028656    .0079409
lnurbanisat~n |    .264945   .2484467     1.07   0.300    -.2570223    .7869122
         left |   .0375052   .0112645     3.33   0.004     .0138395     .061171
        right |   .0247086   .0135229     1.83   0.084     -.003702    .0531191
 lndependency |   1.804967    1.88578     0.96   0.351     -2.15691    5.766843
lndependenc~d |  -.0334584   .3248281    -0.10   0.919    -.7158969      .64898
lndependenc~g |  -5.642476   5.685428    -0.99   0.334    -17.58712    6.302164
 lnpopbelow14 |   5.476998   5.572004     0.98   0.339    -6.229348    17.18334
    lnpop1564 |          0  (omitted)
lnpop65anda~e |          0  (omitted)
     eurozone |   .0240957   .0109703     2.20   0.041     .0010479    .0471436
           eu |   .0081943   .0250594     0.33   0.747    -.0444535    .0608421
    lngovtexp |   .1398396    .113566     1.23   0.234    -.0987536    .3784328
       lnwage |  -.0198417   .0297399    -0.67   0.513    -.0823229    .0426395
    corporate |   .0524592   .0346564     1.51   0.147    -.0203512    .1252696
    plurality |          0  (omitted)
 proportional |          0  (omitted)
        _cons |  -4.979425   4.492124    -1.11   0.282    -14.41703    4.458177
--------------+----------------------------------------------------------------
      sigma_u |  .08875362
      sigma_e |  .06484481
          rho |  .65197566   (fraction of variance due to u_i)
-------------------------------------------------------------------------------

. xtreg lnPATR1 l.lnPATR1 preelection lninflation lngdp lnurbanisation left righ
> t lndependency lndependencyold lndependencyyoung lnpopbelow14 lnpop1564 lnpop6
> 5andabove eurozone eu lngovtexp lnwage corporate plurality proportional i.year
> , fe robust
note: lnpop1564 omitted because of collinearity
note: lnpop65andabove omitted because of collinearity
note: plurality omitted because of collinearity
note: proportional omitted because of collinearity

Fixed-effects (within) regression               Number of obs     =        284
Group variable: country                         Number of groups  =         19

R-sq:                                           Obs per group:
     within  = 0.6416                                         min =         11
     between = 0.9697                                         avg =       14.9
     overall = 0.9248                                         max =         18

                                                F(19,18)          =          .
corr(u_i, Xb)  = 0.7596                         Prob > F          =          .

                                (Std. Err. adjusted for 19 clusters in country)
-------------------------------------------------------------------------------
              |               Robust
      lnPATR1 |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
--------------+----------------------------------------------------------------
      lnPATR1 |
          L1. |   .6587392   .0961799     6.85   0.000     .4566728    .8608056
              |
  preelection |  -.0310178   .0136497    -2.27   0.036    -.0596948   -.0023408
  lninflation |  -.0325141   .0145187    -2.24   0.038    -.0630168   -.0020115
        lngdp |  -.0011804   .0055523    -0.21   0.834    -.0128454    .0104845
lnurbanisat~n |   .1640505   .3152123     0.52   0.609     -.498186    .8262871
         left |     .03482   .0129105     2.70   0.015     .0076961    .0619439
        right |   .0190707   .0164828     1.16   0.262    -.0155583    .0536997
 lndependency |   1.461228   1.916417     0.76   0.456    -2.565015    5.487471
lndependenc~d |  -.2222128   .3620672    -0.61   0.547    -.9828877    .5384621
lndependenc~g |  -3.404956   5.231889    -0.65   0.523    -14.39675    7.586835
 lnpopbelow14 |   3.037522   5.050372     0.60   0.555    -7.572916    13.64796
    lnpop1564 |          0  (omitted)
lnpop65anda~e |          0  (omitted)
     eurozone |    .006002   .0239933     0.25   0.805     -.044406      .05641
           eu |   .0082717   .0235983     0.35   0.730    -.0413066    .0578499
    lngovtexp |    .046253   .1302887     0.36   0.727    -.2274733    .3199793
       lnwage |  -.0294403   .0482326    -0.61   0.549    -.1307733    .0718926
    corporate |     .05361    .033382     1.61   0.126     -.016523     .123743
    plurality |          0  (omitted)
 proportional |          0  (omitted)
              |
         year |
        1998  |  -.0244217   .0118786    -2.06   0.055    -.0493776    .0005343
        1999  |   .0011749   .0581403     0.02   0.984    -.1209735    .1233232
        2000  |   .0529274    .028335     1.87   0.078    -.0066022     .112457
        2001  |   .0031761   .0343156     0.09   0.927    -.0689182    .0752704
        2002  |   .0114473   .0298427     0.38   0.706    -.0512499    .0741445
        2003  |   .0013123   .0330321     0.04   0.969    -.0680857    .0707102
        2004  |   .0127499   .0395587     0.32   0.751    -.0703598    .0958596
        2005  |   .0081906   .0438625     0.19   0.854     -.083961    .1003423
        2006  |     .00978   .0471501     0.21   0.838    -.0892786    .1088386
        2007  |   .0228113   .0544768     0.42   0.680    -.0916402    .1372628
        2008  |   .0266165   .0580768     0.46   0.652    -.0953982    .1486313
        2009  |   -.013349   .0501775    -0.27   0.793    -.1187679      .09207
        2010  |   .0118372   .0588119     0.20   0.843     -.111722    .1353965
        2011  |   .0383978   .0643255     0.60   0.558    -.0967451    .1735407
        2012  |   .0174724   .0642887     0.27   0.789    -.1175932    .1525379
        2013  |   .0159212   .0665736     0.24   0.814    -.1239447    .1557872
        2014  |  -.0155703   .0623691    -0.25   0.806    -.1466028    .1154623
        2015  |  -.0237408   .0621758    -0.38   0.707    -.1543672    .1068857
              |
        _cons |  -2.450586   3.901355    -0.63   0.538    -10.64703    5.745856
--------------+----------------------------------------------------------------
      sigma_u |  .08805032
      sigma_e |  .06522337
          rho |  .64569778   (fraction of variance due to u_i)
-------------------------------------------------------------------------------

xtset country year, yearly
       panel variable:  country (unbalanced)
        time variable:  year, 1995 to 2016
                delta:  1 year

I have a panel data of 27 countries. Why is that when I don't use i.year (the first regression), I get an F statistic, but when I use i.year, the F statistic shows a dot?

[Carlo Lazzaro]

Drishta:
see -help j_robustsingular- Are you using a svy estimator or did you specify the vce(cluster clustvar) option?

[Carlo Lazzaro]

Drishta:
Are you using a svy estimator or did you specify the vce(cluster clustvar) option? is not my question but (much more important) the title of the paragraph you might be interested in under -help j_robustsingular-.
Sorry for the confusion.

[Clyde Schechter]

Drishta, you asked this same question yesterday. The answer is still the same: the -vce(cluster robust)- estimator (which is what you get when you specify -vce(robust)- with -xtreg, fe- only has denominator degrees of freedom equal to the number of clusters in the estimation sample, in your case 19. So once you have more than 19 predictors, no overall model F statistic can be computed. Including the year variables puts you well over that 19 limit.

There is no workaround for this. If you insist on using -vce(robust)- here you cannot get an overall model F-statistic with that many variables in the model. You can refer to yesterday's thread if you want further advice on your options here.