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  • -ritest- Checking for statistical significance

    Hello All,

    Apologize in advance for a very basic question.
    To check for the statistical significance of a variable in a linear regression with ritest, should I be checking for:
    a) Its coefficient
    Code:
    ritest variable _b[variable]
    or
    b) Its t-statistic
    Code:
    ritest variable (_b[variable]/_se[variable])
    My situation is this...
    I have the following linear regression:
    Code:
    . reg y ctrl ctrl_square x1 x2
    
    ------------------------------------------------------------------------------
               y | Coefficient  Std. err.      t    P>|t|     [95% conf. interval]
    -------------+----------------------------------------------------------------
            ctrl |     .00937   .0050835     1.84   0.066    -.0006344    .0193744
     ctrl_square |  -.0000195    .000012    -1.63   0.104    -.0000431    4.02e-06
              x1 |   .2306117   .0852692     2.70   0.007     .0628009    .3984225
              x2 |  -.0322865   .0948172    -0.34   0.734    -.2188878    .1543147
           _cons |   1.873839   .5680238     3.30   0.001     .7559624    2.991716
    ------------------------------------------------------------------------------
    We see that ctrl_square is non-significant, with with p=0.104.

    But, using ritest checking for the coefficient I get the following:
    Code:
    ritest ctrl_square _b[ctrl_square], reps(1000) seed(123): reg y ctrl ctrl_square x1 x2
    .
    .
    ------------------------------------------------------------------------------
    T            |     T(obs)       c       n   p=c/n   SE(p) [95% Conf. Interval]
    -------------+----------------------------------------------------------------
           _pm_1 |  -.0000195       0    1000  0.0000  0.0000         0   .0036821
    ------------------------------------------------------------------------------
    This seems to show ctrl_square's coefficient as significant, with p=c/n being 0.000.

    But, using ritest for ctrl_square's t-statistic:
    Code:
    ritest ctrl_square (_b[ctrl_square]/_se[ctrl_square]), reps(1000) seed(123): reg y ctrl ctrl_square x1 x2
    .
    .
    ------------------------------------------------------------------------------
    T            |     T(obs)       c       n   p=c/n   SE(p) [95% Conf. Interval]
    -------------+----------------------------------------------------------------
           _pm_1 |  -1.632186     112    1000  0.1120  0.0100  .0931185   .1331992
    ------------------------------------------------------------------------------
    I find that p=c/n = 0.112, which is close to p=0.104 of the original regression.

    So, to check for ctrl_square's statistical significance, should I be looking at ritest for its coefficient or ritest for its t-statistic?

    Please advise.

    Thanks in advance.

  • #2
    Navya:
    first, I would start with exploiting the -fvvarlist- notation:
    reg y c.ctrl##c.ctrl x1 x2
    That said, other OLS coefficients do not reach statistical significance.
    Provided that non-significant coefficients are as informative as their statistically signifcant counterparts, it is helpful to spend some time in investigating whether your model is correctly specified, just to start with.
    Kind regards,
    Carlo
    (Stata 18.0 SE)

    Comment


    • #3
      Thank you, @Carlo Lazzaro

      Comment

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