Thanks Allin.
It was my mistake of not recognizing the coeffsum is a restriction with only 1 d.o.f.
While we are on the topic of wish-list,
1. Why can’t we make the robust standard error as the default on the GUI check box?
Is there any situation in which a robust standard error will be biased and wrong?
By having the default being robust, those that insist on having the homoskedastic standard errors reported can uncheck the check box.
I would think that it is better to not have the robust standard error as default. I would ask one to always first estimate the equation assuming that the variance was homoskedastic. Then one should test for homoskedasticity. If heteroskedasticity is found one should then consider if the model was misspecified. (It is possible that other specification tests also fail). If you are satisfied that the model is properly specified you could then use the robust standard error.
2. Is there any reason not to have time dummies included as the default in a panel data regression? Those that have variables that only change with time should uncheck the include time dummy check box.
Not ticking the box completes a one-way panel estimation of the model. ticking the box give a two-way estimate. I think that this is the proper way to proceed and would not be in favor of the proposal
Fred
John C Frain
3 Aranleigh Park