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Date Accessed: Tuesday, 10 January 2012

## Reading and Using STATA Output

This handout is designed to explain the STATA readout you get when doing regression. If you
need help getting data into STATA or doing basic operations, see the earlier STATA handout.
I begin with an example.
In the following statistical model, I regress 'Depend1' on three independent variables.
Depend1 is a composite variable that measures perceptions of success in federal advisory
committees. The 'balance' variable measures the degree to which membership is balanced, the
'express' variable measures the opportunity for the general public to express opinions at
meetings, and the 'prior' variable measures the amount of preparatory information committee
. reg Depend1 balance express prior
Source |
SS
df
MS
---------+-----------------------------Model | 129.990394
3 43.3301314
Residual | 142.381532
333 .427572167
---------+-----------------------------Total | 272.371926
336 .810630731

Number of obs
F( 3,
333)
Prob > F
R-squared
Root MSE

=
=
=
=
=
=

337
101.34
0.0000
0.4773
0.4725
.65389

----------------------------------------------------------------------------Depend1 |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
--------+-------------------------------------------------------------------balance |
.3410554
.0498259
6.845
0.000
.2430421
.4390686
express | -.3248486
.0878143
-3.699
0.000
-.4975894
-.1521079
prior |
.4562601
.0443442
10.289
0.000
.3690301
.5434901
_cons | -3.047717
.2280971
-13.361
0.000
-3.496409
-2.599024
-----------------------------------------------------------------------------

A quick glance at the t-statistics reveals that something is likely going on in this data. Do we
know for certain that there is something going on? Yes. Look at the F(3,333)=101.34 line,
and then below it the Prob > F = 0.0000. STATA is very nice to you. It automatically conducts
an F-test, testing the null hypothesis that nothing is going on here (in other words, that all of
the coefficients on your independent variables are equal to zero). We reject this null
hypothesis with extremely high confidence - above 99.99% in fact.
So now that we are pretty sure something is going on, what now?
Generally, we begin with the coefficients, which are the 'beta' estimates, or the slope
coefficients in a regression line. In this case the 'line' is actually a 3-D hyperplane, but the
meaning is the same.

First, consider the coefficient on the constant term, '_cons". It is obviously large and
significant. This is the intercept for the regression line (in this case, the regression
hyperplane). It is the default predicted value of Depend1 when all of the other variables equal
zero. Does this have any intuitive meaning? Well, consider the following chart:
. sum Depend1 balance express prior
Variable |
Obs
Mean
Std. Dev.
Min
Max
---------+----------------------------------------------------Depend1 |
359
-6.39e-09
.9367157 -4.089263
1.008503
balance |
584
4.239726
.7780637
1
5
express |
597
.5678392
.4276565
0
1
prior |
580
4.149425
.8828358
1
5

Most of the variables never equal zero, which makes us wonder what meaning the intercept
has. By itself, not much. In some regressions, the intercept would have a lot of meaning. Here
it does not, and I wouldn't spend too much time writing about it in the paper.
I'm much more interested in the other three coefficients. How do I begin to think about them?
There are two important concepts here. One is magnitude, and the other is significance.

Magnitude is the size of the effect - that is, how big the coefficient is. If you increase
the balance variable by 1, how much does the Depend1 variable increase (or decrease)
by? Be careful here to consider the scale of your variable. If you are using dollars as
an independent variable, and you switch to using millions of dollars, the value of your
coefficient will drop to a millionth what it was. Did the magnitude of your coefficient
change? Not really. We just rescaled. The same is true when you rescale the dependent
variable, from employees to millions of employees for example. So given the scaling
issue, how do you know when something is important or not? Partly, you make a
judgement. If you want a slightly more consistent method in which to make the
judgement, ask yourself the following question: If you increase the independent
variable by one of its own standard deviations, how much does the dependent variable
increase or decrease by? So in my own regression, I might ask: If I increase 'balance'
by 0.778, how much does this affect Depend1? The predicted effect is an increase of
0.778*0.341 = 0.265. Is 0.265 big? Well, the standard deviation of Depend1 is 0.937.
Thus, an increase of one standard deviation in 'balance' causes an increase of
0.265/0.937 = 0.283 of a standard deviation in 'Depend1'.

## Significance is the statistical significance of your estimated coefficient. Do not

confuse significance with magnitude. It is more related to the precision of your
estimate. Significance is typically measured by your t-statistic, or your p-value in the
regression readout. These are the columns 't' and 'P>|t|'. Typically, a t-statistic above 2
or below -2 is considered significant at the 95% level. We use 2 as a rule of thumb
because in the t-distribution we need to know how many degrees of freedom we have
(d.f. = number of observations - number of variables) before we can decide whether
the value of the t-statistic is significant at the 95% level. If t is very, very large, then
we can use the normal distribution, and the t-statistic is significant if it's above 1.96. If
you have few observations in the regression, you might need a slightly higher tstatistic for the coefficient to be significant.

So where does the t-statistic come from? Do you see the column marked 'std. err.'?
This stands for the standard error of your estimate. The number in the t-statistic
column is equal to your coefficient divided by the standard error. It thus measures
how many standard deviations away from zero your estimated coefficient is. This is
an implicit hypothesis test against the Null Hypothesis that nothing is going on with
that variable - or in other words, that the real coefficient is zero. If the real coefficient
were zero, then we'd expect the estimated coefficient to fall within two standard
deviations of zero 95% of the time. If we observe an estimate of the coefficient more
than two standard deviations away from zero, then we have reason to think that the
Null Hypothesis is very unlikely. If we reject the null hypothesis with 95%
confidence, then we typically say that our independent variable has a statistically
significant effect on our dependent variable. That effect could be very small in real
terms - indeed, if we have tends of thousands of observations, we can identify really
small effects very precisely. Thus, a small effect can be significant. Review our earlier
work on calculating the standard error of of an estimate to see why - we'll probably go
over this again in class too.
So what, then, is the P-value? The p-value is a matter of convenience for us. STATA
automatically takes into account the number of degrees of freedom and tells us at
what level our coefficient is significant. If it is significant at the 95% level, then we
have P < 0.05. If it is significant at the 0.01 level, then P < 0.01. In our regression
above, P < 0.0000, so out coefficient is significant at the 99.99+% level.
Just to drive the point home, STATA tells us this in one more way - using the
confidence interval. The confidence interval is equal to the the coefficient +/- about 2
standard deviations. We are 95% confident that the true value of the coefficient in the
model which generated this data falls within this value. Note that zero is never within
the confidence interval for any of my variables, which we expect because the tstatistics are high and the P-values are low.
So what does all the other stuff in that readout mean?

First, the R-squared. The R-squared is typically read as the 'percent of variance
explained'. It is a measure of the overall fit of the model. For social science, 0.477 is
fairly high. The Adjusted R-squared is just another measure of goodness of fit that
penalizes me slightly for using extra independent variables - essentially, it adjusts for
the degrees of freedom I use up in adding these independent variables. In this case, it's
not a big worry because I have only 3 variables and 337 observations. You might
consider using the adjusted R-squared in datasets with low numbers of observations
(30 or less) or when you are using a lot of independent variables.

The Root MSE, or root mean squared error, is the square root of 0.427, or the mean
squared error. You can find the MSE, 0.427, in right hand side of the subtable in the
upper left section of the readout. This subtable is called the ANOVA, or analysis of
variance, table. The Root MSE is essentially the standard deviation of the residual in
this model. The MSE, which is just the square of the root MSE, is thus the variance of
the residual in the model. To understand this, we briefly walk through the ANOVA
table (which we'll do again in class).

The ANOVA table has four columns, the Source, the Sum of Squares, the degrees of freedom,
and the Mean of the Sum of Squares.

The error sum of squares is the sum of the squared residuals, 'e', from each
observation. If you recall, 'e' is the part of Depend1 that is not explained by the model.
The model sum of squares is the sum of the squared deviations from the mean of
Depend1 that our model does explain. A good model has a model sum of squares and
a low residual sum of squares.
Our R-squared value equals our model sum of squares divided by the total sum of
squares. It is the percentage of the total sum of squares explained by the model - or, as
we said earlier, the percentage of the total variance of Depend1 explained by the
model. That is where we get the goodness of fit interpretation of R-squared.
The mean sum of squares for the Model and the Residual is just the sum of squares
for those parts, divided by the degrees of freedom left over to obtain these estimates
for each piece.
You should recognize the mean sum of squared errors - it is essentially the estimate of
sigma-squared (the variance of the residual). This is the sum of squared residuals
divided by the degrees of freedom, N-k. In this case, N-k = 337 - 4 = 333. Why is this
important? Because we use the mean sum of squared errors in obtaining our estimates
of the variances of each coefficient, and in conducting all of our statistical tests.

Once you get your data into STATA, you will discover that you can generate a lot of
output really fast, often without even understanding what it really means. However
that much difficulty. It is therefore your job to explain your data and output to us in
the clearest manner possible.
At the bare minimum, your paper should have the following sections: Abstract,
Introduction, Theoretical Background or Literature Review, Data Summary, Analysis,
Discussion and Conclusions. Since this is a class paper and not a journal paper, some
of these sections can be very brief. You should by now be familiar with writing most
of this paper, but you may have some concern about how to use data in writing. Here
are some basic rules.

Always discuss your data. Give us a simple list of variables with a brief description,
and perhaps the mean and standard deviation of the variables. STATA can do this with
the summarize command. Tell us where you got the data, how you gathered it, any
difficulties you might have encountered, any concerns you might have. Explain what
the scales of the variables are if there is anything that is not obvious. Did you have
any missing data? If so, what problems might it cause and how did you work around
them?

Before doing your quantitative analysis, make sure you have explained the theory and
the reasons why your data helps you make sense of or test your theories. What is the

## quantitative analysis contributing to our understanding of your research problem?

variable. What are the possible outcomes, and what do they mean? Present your
results. Do not use STATA readout directly - copy it into a pretty Word table or
something similar. Your table might look something like this (but more professional,
hopefully, with borders and properly aligned columns):

Variable
Express
Balance
Prior
Openmeet
Constant
R-squared (N)

Model1
0.341 (6.85)
-0.325 (-3.70)
0.456 (10.3)
--3.05 (-13.4)
0.4773 (337)

Model2
-0.286 (-0.270)
0.327 (6.75)
0.428 (9.86)
-0.174 (-4.78)
-2.63 (-11.0)
0.510 (336)

This table summaries everything from the STATA readout table that we want to know
in the paper.

Make sure to indicate whether the numbers in parentheses are t-statistics, as they are
in this case, or standard errors, or even p-values. Just be consistent. After you are done
presenting your data, discuss your data. What do the variables mean, are the results
significant, etc. Interpret these numbers for us. Tell us which theories they support,
and what everything means. Are you confident in your results? What else might you
have done?

You should note that in the table above, there was a second column. So why the second
column, Model2? Because I have a fourth variable I haven't used yet.
Source |
SS
df
MS
---------+-----------------------------Model | 138.541532
4 34.6353831
Residual |
132.89241
331 .401487644
---------+-----------------------------Total | 271.433943
335 .810250575

Number of obs
F( 4,
331)
Prob > F
R-squared
Root MSE

=
=
=
=
=
=

336
86.27
0.0000
0.5104
0.5045
.63363

----------------------------------------------------------------------------Depend1 |
Coef.
Std. Err.
t
P>|t|
[95% Conf.
Interval]
--------+-------------------------------------------------------------------express | -.0285837
.1058492
-0.270
0.787
-.2368057
.1796383
balance |
.3267551
.048381
6.754
0.000
.231582
.4219282
prior |
.4277068
.0433962
9.856
0.000
.3423397
.5130739
openmeet | -.1737696
.0363659
-4.778
0.000
-.2453069
-.1022322
_cons | -2.627165
.2374349
-11.065
0.000
-3.094236
-2.160093

This is the regression for my second model, the model which uses an additional variable whether the committee had meetings open to the public. Note that when the openmeet
variable is included, the coefficient on 'express' falls nearly to zero and becomes insignificant.
In other words, controlling for open meetings, opportunities for expression have no effect.
But if we fail to control for open meetings, than 'express' picks up the effect of open meetings
because opportunities for expression is highly correlated with open meetings. This is an
important piece of interpretation - you should point this out to the reader.
Why did I combine both these models into a single table? Because it is more concise, neater,
and allows for easy comparison. Generally, you should try to get your results down to one
table or a single page's worth of data. Too much data is as bad as too little data.
In your writing, try to use graphs to illustrate your work. Numbers say a lot, but graphs can
often say a lot more. You might use graphs to demonstrate the skew in an interesting variable,
the slope of a regression line, or some weird irregularity that may be confounding your linear
model. Always keep graphs simple and avoid making them overly fancy.
Inserting Graphs Into MS Word:
As this didn't make it onto the handout, here it is in email. I'll add it to the web handout as
well when I get the chance.
In STATA, when type the graph command as follows:
. graph Y X, saving mygraph

STATA will create a file "mygraph.gph" in your current directory. Unfortunately, only STATA
can read this file. In order to make it useful to other programs, you need to convert it into a
postscript file. To do this, in STATA, type:
. translate mygraph.gph mygraph.ps

STATA then creates a file called "mygraph.ps" inside your current directory. You can now
print this file on Athena by exiting STATA and printing from the Athena prompt.
Alternatively, you could type:
. translate mygraph.gph mygraph.eps

This creates an encapsulated postscript file, which can be imported into MS Word. In MS
Word, click on the "Insert" tab, go to "Picture", and then go to "*.eps" files. This stands for
encapsulated postscript files. You should be able to find "mygraph.ps" in the browsing
window, and insert it into your MS Word file without too much difficulty.
Final Word:
Find a professionally written paper or two from one of the many journals in Dewey library,
and read these. Make sure you find a paper that uses a lot of data. You don't have to be as

sophisticated about the analysis, but look how the paper uses the data and results. Get a feel
for what you are doing by looking at what others have done.