Why doesn't Stata provide the information on the total sum of squares, model sum of squares, and residual sum of squares when the –robust- option is specified?
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. sysuse auto.dta
. regress price mpg, rob
Linear regression Number of obs = 74
F(1, 72) = 17.28
Prob > F = 0.0001
R-squared = 0.2196
Root MSE = 2623.7
------------------------------------------------------------------------------
| Robust
price | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
mpg | -238.8943 57.47701 -4.16 0.000 -353.4727 -124.316
_cons | 11253.06 1376.393 8.18 0.000 8509.272 13996.85
------------------------------------------------------------------------------
. ereturn list
scalars:
e(N) = 74
e(df_m) = 1
e(df_r) = 72
e(F) = 17.27521363224185
e(r2) = .2195828561874971
e(rmse) = 2623.652888667587
e(mss) = 139449473.5462299
e(rss) = 495615922.5753916
e(r2_a) = .2087437291901012
e(ll) = -686.5395809065244
e(ll_0) = -695.7128688987767
e(rank) = 2
macros:
e(cmdline) : "regress price mpg, rob"
e(title) : "Linear regression"
e(marginsok) : "XB default"
e(vce) : "robust"
e(depvar) : "price"
e(cmd) : "regress"
e(properties) : "b V"
e(predict) : "regres_p"
e(model) : "ols"
e(estat_cmd) : "regress_estat"
e(vcetype) : "Robust"
matrices:
e(b) : 1 x 2
e(V) : 2 x 2
e(V_modelbased) : 2 x 2
functions:
e(sample)
.
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