What statistical analysis should I use?

Statistical analyses using Stata

Version info: Code for this page was tested in Stata 12.

Introduction
This page shows how to perform a number of statistical tests using Stata. Each
section gives a brief description of the aim of the statistical test, when it is used, an
example showing the Stata commands and Stata output with a brief interpretation of
the output. You can see the page Choosing the Correct Statistical Test for a table that
shows an overview of when each test is appropriate to use. In deciding which test is
appropriate to use, it is important to consider the type of variables that you have (i.e.,
whether your variables are categorical, ordinal or interval and whether they are
normally distributed), see What is the difference between categorical, ordinal and
interval variables? for more information on this.

About the hsb data file

Most of the examples in this page will use a data file called hsb2, high school and
beyond. This data file contains 200 observations from a sample of high school
students with demographic information about the students, such as their gender
(female), socio-economic status (ses) and ethnic background (race). It also contains a
number of scores on standardized tests, including tests of reading (read), writing
(write), mathematics (math) and social studies (socst). You can get the hsb2 data file
from within Stata by typing:

use
http://www.ats.ucla.edu/stat/stata/notes/hsb
2
One sample t-test
A one sample t-test allows us to test whether a sample mean (of a normally distributed
interval variable) significantly differs from a hypothesized value. For example, using
the hsb2 data file, say we wish to test whether the average writing score (write) differs
significantly from 50. We can do this as shown below.

ttest write=50
One-sample t test
----------------------------------------------------------------------------Variable |
Obs
Mean
Std. Err.
Std. Dev.
[95% Conf. Interval]

--------+------------------------------------------------------------------write |
200
52.775
.6702372
9.478586
51.45332
54.09668
----------------------------------------------------------------------------Degrees of freedom: 199
Ho: mean(write)
= 50
Ha: mean < 50
Ha: mean ~=
50
Ha: mean > 50
t =
4.1403
t =
4.1403
t =
4.1403
P < t =
1.0000
P > |t| =
0.0001
P > t =
0.0000
The mean of the variable write for this particular sample of students is 52.775, which is
statistically significantly different from the test value of 50. We would conclude that this
group of students has a significantly higher mean on the writing test than 50.

See also
Stata Textbook Examples. Introduction to the Practice of
Statistics, Chapter 7
Stata Code Fragment: Descriptives, ttests, Anova and
Regression
Stata Class Notes: Analyzing Data

One sample median test

A one sample median test allows us to test whether a sample median differs
significantly from a hypothesized value. We will use the same variable, write, as we
did in the one sample t-test example above, but we do not need to assume that it is
interval and normally distributed (we only need to assume that write is an ordinal
variable and that its distribution is symmetric). We will test whether the median writing
score (write) differs significantly from 50.

signrank write=50
Wilcoxon signed-rank test

sign |

obs

sum ranks

expected
------------+--------------------------------positive |
126
13429
10048.5
negative |
72
6668
10048.5
zero |
2
3
3
------------+--------------------------------all |
200
20100
20100
unadjusted variance
adjustment for ties
adjustment for zeros
adjusted variance
Ho: write = 50
z =
Prob > |z| =

671675.00
-1760.25
-1.25
--------669913.50

4.130
0.0000

The results indicate that the median of the variable write for this group is statistically
significantly different from 50.

See also
Stata Code Fragment: Descriptives, ttests, Anova and
Regression

Binomial test
A one sample binomial test allows us to test whether the proportion of successes on a
two-level categorical dependent variable significantly differs from a hypothesized
value. For example, using the hsb2 data file, say we wish to test whether the
proportion of females (female) differs significantly from 50%, i.e., from .5. We can do
this as shown below.

bitest female=.5

Variable |
N
Observed k
Expected
k
Assumed p
Observed p
------------+----------------------------------------------------------female |
200
109
100
0.50000
0.54500
Pr(k >= 109)
= 0.114623
sided test)
Pr(k <= 109)
= 0.910518
sided test)
Pr(k <= 91 or k >= 109) = 0.229247
sided test)

(one(one(two-

The results indicate that there is no statistically significant difference (p = .2292). In

other words, the proportion of females does not significantly differ from the
hypothesized value of 50%.

See also
Stata Textbook Examples: Introduction to the Practice of
Statistics, Chapter 5

Chi-square goodness of fit

A chi-square goodness of fit test allows us to test whether the observed proportions for
a categorical variable differ from hypothesized proportions. For example, let's suppose
that we believe that the general population consists of 10% Hispanic, 10% Asian, 10%
African American and 70% White folks. We want to test whether the observed
proportions from our sample differ significantly from these hypothesized proportions. To
conduct the chi-square goodness of fit test, you need to first download
thecsgof program that performs this test. You can download csgof from within Stata
by typing findit csgof (see How can I used the findit command to search for programs
and get additional help? for more information about using findit).
Now that the csgof program is installed, we can use it by typing:

csgof race, expperc(10 10 10 70)

race

obsfreq
hispanic
24

expperc

expfreq

10

20

asian
11
african-amer
20
white
145

10

20

10

20

70

140

chisq(3) is 5.03, p = .1697

These results show that racial composition in our sample does not differ significantly
from the hypothesized values that we supplied (chi-square with three degrees of
freedom = 5.03, p = .1697).

See also
Useful Stata Programs
Stata Textbook Examples: Introduction to the Practice of
Statistics, Chapter 8

Two independent samples t-test

An independent samples t-test is used when you want to compare the means of a
normally distributed interval dependent variable for two independent groups. For
example, using the hsb2 data file, say we wish to test whether the mean for write is the
same for males and females.

ttest write, by(female)

Two-sample t test with equal variances
----------------------------------------------------------------------------Group |
Obs
Mean
Std. Err.
Std. Dev.
[95% Conf. Interval]
--------+------------------------------------------------------------------male |
91
50.12088
1.080274
10.30516
47.97473
52.26703
female |
109
54.99083
.7790686
8.133715
53.44658
56.53507

--------+------------------------------------------------------------------combined |
200
52.775
.6702372
9.478586
51.45332
54.09668
--------+------------------------------------------------------------------diff |
-4.869947
1.304191
-7.441835
-2.298059
----------------------------------------------------------------------------Degrees of freedom: 198
Ho: mean(male) - mean(female) = diff = 0
Ha: diff < 0
Ha: diff ~=
0
Ha: diff > 0
t = -3.7341
t =
-3.7341
t = -3.7341
P < t =
0.0001
P > |t| =
0.0002
P > t =
0.9999
The results indicate that there is a statistically significant difference between the mean
writing score for males and females (t = -3.7341, p = .0002). In other words, females
have a statistically significantly higher mean score on writing (54.99) than males
(50.12).

See also
Stata Learning Module: A Statistical Sampler in Stata
Stata Textbook Examples. Introduction to the Practice of
Statistics, Chapter 7
Stata Class Notes: Analyzing Data

Wilcoxon-Mann-Whitney test
The Wilcoxon-Mann-Whitney test is a non-parametric analog to the independent
samples t-test and can be used when you do not assume that the dependent variable
is a normally distributed interval variable (you only assume that the variable is at least
ordinal). You will notice that the Stata syntax for the Wilcoxon-Mann-Whitney test is

almost identical to that of the independent samples t-test. We will use the same data
file (the hsb2 data file) and the same variables in this example as we did in
theindependent t-test example above and will not assume that write, our dependent
variable, is normally distributed.

ranksum write, by(female)

Two-sample Wilcoxon rank-sum (Mann-Whitney)
test
female |
obs
rank sum
expected
------------+--------------------------------male |
91
7792
9145.5
female |
109
12308
10954.5
------------+--------------------------------combined |
200
20100
20100
unadjusted variance
adjustment for ties
adjusted variance

166143.25
-852.96
---------165290.29

Ho: write(female==male) =
write(female==female)
z = -3.329
Prob > |z| =
0.0009
The results suggest that there is a statistically significant difference between the
underlying distributions of the write scores of males and the write scores of females (z
= -3.329, p = 0.0009). You can determine which group has the higher rank by looking
at the how the actual rank sums compare to the expected rank sums under the null
hypothesis. The sum of the female ranks was higher while the sum of the male ranks
was lower. Thus the female group had higher rank.

See also

 FAQ: Why is the Mann-Whitney significant when the medians

are equal?
Stata Class Notes: Analyzing Data

Chi-square test
A chi-square test is used when you want to see if there is a relationship between two
categorical variables. In Stata, the chi2option is used with the tabulate command to
obtain the test statistic and its associated p-value. Using the hsb2 data file, let's see if
there is a relationship between the type of school attended (schtyp) and students'
gender (female). Remember that the chi-square test assumes the expected value of
each cell is five or higher. This assumption is easily met in the examples below.
However, if this assumption is not met in your data, please see the section on Fisher's
exact test below.

tabulate schtyp female, chi2

type of |
female
school |
male
female |
Total
-----------+---------------------+---------public |
77
91 |
168
private |
14
18 |
32
-----------+---------------------+---------Total |
91
109 |
200
Pearson chi2(1) =

0.0470

Pr =

0.828
These results indicate that there is no statistically significant relationship between the
type of school attended and gender (chi-square with one degree of freedom = 0.0470,
p = 0.828).
Let's look at another example, this time looking at the relationship between gender
(female) and socio-economic status (ses). The point of this example is that one (or
both) variables may have more than two levels, and that the variables do not have to
have the same number of levels. In this example, female has two levels (male and
female) and ses has three levels (low, medium and high).

tabulate female ses, chi2

|
ses
female |
low
middle
|
Total
----------+--------------------------------+---------male |
15
47
|
91
female |
32
48
|
109
----------+--------------------------------+---------Total |
47
95
|
200
Pearson chi2(2) =

4.5765

high

29
29

58
Pr =

0.101
Again we find that there is no statistically significant relationship between the variables
(chi-square with two degrees of freedom = 4.5765, p = 0.101).

See also
Stata Learning Module: A Statistical Sampler in Stata
Stata Teaching Tools: Probability Tables
Stata Teaching Tools: Chi-squared distribution
Stata Textbook Examples: An Introduction to Categorical
Analysis, Chapter 2

Fisher's exact test

The Fisher's exact test is used when you want to conduct a chi-square test, but one or
more of your cells has an expected frequency of five or less. Remember that the chisquare test assumes that each cell has an expected frequency of five or more, but the
Fisher's exact test has no such assumption and can be used regardless of how small
the expected frequency is. In the example below, we have cells with observed
frequencies of two and one, which may indicate expected frequencies that could be

below five, so we will use Fisher's exact test with the exact option on
the tabulate command.

tabulate schtyp race, exact

type of |
race
school | hispanic
asian african-a
white |
Total
----------+-------------------------------------------+---------public |
22
10
18
118 |
168
private |
2
1
2
27 |
32
----------+-------------------------------------------+---------Total |
24
11
20
145 |
200
Fisher's exact =
0.597
These results suggest that there is not a statistically significant relationship between
race and type of school (p = 0.597). Note that the Fisher's exact test does not have a
"test statistic", but computes the p-value directly.

See also
Stata Learning Module: A Statistical Sampler in Stata
Stata Textbook Examples: Statistical Methods for the Social
Sciences, Chapter 7

One-way ANOVA
A one-way analysis of variance (ANOVA) is used when you have a categorical
independent variable (with two or more categories) and a normally distributed interval
dependent variable and you wish to test for differences in the means of the dependent
variable broken down by the levels of the independent variable. For example, using
the hsb2 data file, say we wish to test whether the mean of write differs between the
three program types (prog). The command for this test would be:

anova write prog

Number of obs =
200
0.1776
Root MSE
= 8.63918
0.1693

R-squared

Adj R-squared =

Source | Partial SS
df
MS
F
Prob > F
----------+--------------------------------------------------Model | 3175.69786
2 1587.84893
21.27
0.0000
|
prog | 3175.69786
2 1587.84893
21.27
0.0000
|
Residual | 14703.1771
197
74.635417
----------+--------------------------------------------------Total |
17878.875
199
89.843593
The mean of the dependent variable differs significantly among the levels of program
type. However, we do not know if the difference is between only two of the levels or all
three of the levels. (The F test for the Model is the same as the F test
forprog because prog was the only variable entered into the model. If other variables
had also been entered, the F test for theModel would have been different from prog.)
To see the mean of write for each level of program type, you can use
thetabulate command with the summarize option, as illustrated below.

tabulate prog, summarize(write)

type of |
Summary of writing score
program |
Mean
Std. Dev.
Freq.
-----------+-----------------------------------general |
51.333333
9.3977754
45

academic |

56.257143

7.9433433

46.76

9.3187544

105

vocation |

50
-----------+-----------------------------------Total |
52.775
9.478586
200
From this we can see that the students in the academic program have the highest
mean writing score, while students in the vocational program have the lowest.

See also
Design and Analysis: A Researchers Handbook Third Edition
by Geoffrey Keppel
Stata Topics: ANOVA
Stata Frequently Asked Questions
Stata Programs for Data Analysis

Kruskal Wallis test

The Kruskal Wallis test is used when you have one independent variable with two or
more levels and an ordinal dependent variable. In other words, it is the non-parametric
version of ANOVA and a generalized form of the Mann-Whitney test method since it
permits 2 or more groups. We will use the same data file as the one way ANOVA
example above (the hsb2 data file) and the same variables as in the example above,
but we will not assume that write is a normally distributed interval variable.

kwallis write, by(prog)

Test: Equality of populations (KruskalWallis test)
prog
general
academic
vocation
chi-squared =
probability =

_Obs
<
45
105
50

_RankSum
4079.00
12764.00
3257.00

33.870 with 2 d.f.

0.0001

chi-squared with ties =

d.f.
probability =
0.0001

34.045 with 2

If some of the scores receive tied ranks, then a correction factor is used, yielding a
slightly different value of chi-squared. With or without ties, the results indicate that
there is a statistically significant difference among the three type of programs.

Paired t-test
A paired (samples) t-test is used when you have two related observations (i.e. two
observations per subject) and you want to see if the means on these two normally
distributed interval variables differ from one another. For example, using the hsb2 data
filewe will test whether the mean of read is equal to the mean of write.

ttest read = write

Paired t test
----------------------------------------------------------------------------Variable |
Obs
Mean
Std. Err.
Std. Dev.
[95% Conf. Interval]
--------+------------------------------------------------------------------read |
200
52.23
.7249921
10.25294
50.80035
53.65965
write |
200
52.775
.6702372
9.478586
51.45332
54.09668
--------+------------------------------------------------------------------diff |
200
-.545
.6283822
8.886666
-1.784142
.6941424
----------------------------------------------------------------------------Ho: mean(read - write) =
mean(diff) = 0

Ha: mean(diff) < 0

Ha: mean(diff)
~= 0
Ha: mean(diff) > 0
t = -0.8673
t =
-0.8673
t = -0.8673
P < t =
0.1934
P > |t| =
0.3868
P > t =
0.8066
These results indicate that the mean of read is not statistically significantly different
from the mean of write (t = -0.8673, p = 0.3868).

See also
Stata Learning Module: Comparing Stata and SAS Side by
Side
Stata Textbook Examples. Introduction to the Practice of
Statistics, Chapter 7

Wilcoxon signed rank sum test

The Wilcoxon signed rank sum test is the non-parametric version of a paired samples ttest. You use the Wilcoxon signed rank sum test when you do not wish to assume that
the difference between the two variables is interval and normally distributed (but you do
assume the difference is ordinal). We will use the same example as above, but we will
not assume that the difference between read and write is interval and normally
distributed.

signrank read = write

Wilcoxon signed-rank test
sign |

obs

sum ranks

expected
------------+--------------------------------positive |
88
9264
9990
negative |
97
10716
9990
zero |
15
120
120
------------+---------------------------------

all |

200

20100

20100
unadjusted variance
adjustment for ties
adjustment for zeros
adjusted variance

671675.00
-715.25
-310.00
---------670649.75

Ho: read = write

z =
Prob > |z| =

-0.887
0.3753

The results suggest that there is not a statistically significant difference

between read and write.
If you believe the differences between read and write were not ordinal but could
merely be classified as positive and negative, then you may want to consider a sign
test in lieu of sign rank test. Again, we will use the same variables in this example and
assume that this difference is not ordinal.

signtest read = write

Sign test
sign |
observed
expected
-------------+-----------------------positive |
88
92.5
negative |
97
92.5
zero |
15
15
-------------+-----------------------all |
200
200
One-sided tests:
Ho: median of read - write = 0 vs.
Ha: median of read - write > 0
Pr(#positive >= 88) =
Binomial(n = 185, x >= 88, p = 0.5)
= 0.7688
Ho: median of read - write = 0 vs.
Ha: median of read - write < 0

Pr(#negative >= 97) =

Binomial(n = 185, x >= 97, p = 0.5)
0.2783

Two-sided test:
Ho: median of read - write = 0 vs.
Ha: median of read - write ~= 0
Pr(#positive >= 97 or #negative >= 97)
=
min(1, 2*Binomial(n = 185, x >= 97,
p = 0.5)) = 0.5565
This output gives both of the one-sided tests as well as the two-sided test. Assuming
that we were looking for any difference, we would use the two-sided test and conclude
that no statistically significant difference was found (p=.5565).
See also

Stata Code Fragment: Descriptives, ttests, Anova and

Regression
Stata Class Notes: Analyzing Data

McNemar test
You would perform McNemar's test if you were interested in the marginal frequencies
of two binary outcomes. These binary outcomes may be the same outcome variable on
matched pairs (like a case-control study) or two outcome variables from a single
group. For example, let us consider two questions, Q1 and Q2, from a test taken by
200 students. Suppose 172 students answered both questions correctly, 15 students
answered both questions incorrectly, 7 answered Q1 correctly and Q2 incorrectly, and 6
answered Q2 correctly and Q1 incorrectly. These counts can be considered in a twoway contingency table. The null hypothesis is that the two questions are answered
correctly or incorrectly at the same rate (or that the contingency table is symmetric).
We can enter these counts into Stata using mcci, a command from Stata's
epidemiology tables. The outcome is labeled according to case-control study
conventions.

mcci 172 6 7 15

| Controls
|
Exposed

Cases
Unexposed
Total
-----------------+-----------------------+------------

|
|

178

Exposed |

172

Unexposed |

15

22
-----------------+-----------------------+-----------Total |
179
21 |
200
McNemar's chi2(1) =
0.08
Prob > chi2
= 0.7815
Exact McNemar significance probability
= 1.0000
Proportion with factor
Cases
.89
Controls
.895
Interval]
---------------------------difference
-.005
.035327
ratio
.9944134
1.034572
rel. diff. -.047619
.2968119
odds ratio
2.978588
(exact)

.8571429

[95% Conf.

-.045327
.9558139
-.39205
.2379799

McNemar's chi-square statistic suggests that there is not a statistically

significant difference in the proportions of correct/incorrect answers to
these two questions.

One-way repeated measures ANOVA

You would perform a one-way repeated measures analysis of variance if you had one
categorical independent variable and a normally distributed interval dependent variable
that was repeated at least twice for each subject. This is the equivalent of the paired
samples t-test, but allows for two or more levels of the categorical variable. This tests
whether the mean of the dependent variable differs by the categorical variable. We
have an example data set called rb4, which is used in Kirk's book Experimental

Design. In this data set, y is the dependent variable, a is the repeated measure
and s is the variable that indicates the subject number.

use
http://www.ats.ucla.edu/stat/stata/examples/
kirk/rb4
anova y a s, repeated(a)
Number of obs =
32
Rsquared
= 0.7318
Root MSE
= 1.18523
Adj R-squared = 0.6041
Source | Partial SS
df
MS
F
Prob > F
----------+--------------------------------------------------Model |
80.50
10
8.05
5.73
0.0004
|
a |
49.00
3 16.3333333
11.63
0.0001
s |
31.50
7
4.50
3.20
0.0180
|
Residual |
29.50
21
1.4047619
----------+--------------------------------------------------Total |
110.00
31
3.5483871
Between-subjects error term:
Levels:
df)
Lowest b.s.e. variable:
Repeated variable: a

s
8
s

(7

Huynh-Feldt epsilon
0.8343
0.6195

Greenhouse-Geisser epsilon =
Box's conservative epsilon =

0.3333
------------ Prob >

F -----------Source |
df
F
Regular
HF
G-G
Box
----------+--------------------------------------------------a |
3
11.63
0.0001
0.0003
0.0015
0.0113
Residual |
21
----------+--------------------------------------------------You will notice that this output gives four different p-values. The "regular" (0.0001) is
the p-value that you would get if you assumed compound symmetry in the variancecovariance matrix. Because that assumption is often not valid, the three other p-values
offer various corrections (the Huynh-Feldt, H-F, Greenhouse-Geisser, G-G and Box's
conservative, Box). No matter which p-value you use, our results indicate that we have
a statistically significant effect of a at the .05 level.

See also
Stata FAQ: How can I test for nonadditivity in a randomized
block ANOVA in Stata?
Stata Textbook Examples, Experimental Design, Chapter 7
Stata Textbook Examples, Design and Analysis, Chapter 16
Stata Code Fragment: ANOVA

Repeated measures logistic regression

If you have a binary outcome measured repeatedly for each subject and you wish to
run a logistic regression that accounts for the effect of these multiple measures from

each subjects, you can perform a repeated measures logistic regression. In Stata, this
can be done using the xtgee command and indicating binomial as the probability
distribution and logit as the link function to be used in the model. The exercise data
file contains 3 pulse measurements of 30 people assigned to 2 different diet regiments
and 3 different exercise regiments. If we define a "high" pulse as being over 100, we
can then predict the probability of a high pulse using diet regiment.
First, we use xtset to define which variable defines the repetitions. In this dataset,
there are three measurements taken for each id, so we will use id as our panel
variable. Then we can use i: before diet so that we can create indicator variables as
needed.

use
http://www.ats.ucla.edu/stat/stata/whatstat/
exercise, clear
xtset id
xtgee highpulse i.diet, family(binomial)
link(logit)
Iteration 1: tolerance = 1.753e-08
GEE population-averaged model
Number of obs
=
90
Group variable:
id
Number of groups
=
30
Link:
logit
Obs per group: min =
3
Family:
binomial
avg =
3.0
Correlation:
exchangeable
max =
3
Wald chi2(1)
Scale parameter:
Prob > chi2

=
=

1.53
0.2157

----------------------------------------------------------------------------highpulse |
Coef.
Std. Err.
z
P>|z|
[95% Conf. Interval]
------------+---------------------------------------------------------------

2.diet |
.7537718
.6088196
1.24
0.216
-.4394927
1.947036
_cons | -1.252763
.4621704
-2.71
0.007
-2.1586
-.3469257
----------------------------------------------------------------------------These results indicate that diet is not statistically significant (Z = 1.24, p = 0.216).

Factorial ANOVA
A factorial ANOVA has two or more categorical independent variables (either with or
without the interactions) and a single normally distributed interval dependent variable.
For example, using the hsb2 data file we will look at writing scores (write) as the
dependent variable and gender (female) and socio-economic status (ses) as
independent variables, and we will include an interaction of female by ses. Note that
in Stata, you do not need to have the interaction term(s) in your data set. Rather, you
can have Stata create it/them temporarily by placing an asterisk between the variables
that will make up the interaction term(s).

anova write female ses female##ses

Number of obs =
200
R-squared
= 0.1274
Root MSE
=
8.96748
Adj R-squared = 0.1049
Source | Partial SS
df
MS
F
Prob > F
----------+--------------------------------------------------Model | 2278.24419
5
455.648837
5.67
0.0001
|
female | 1334.49331
1
1334.49331
16.59
0.0001
ses |
1063.2527
2
531.626349
6.61
0.0017
female#ses | 21.4309044
2
10.7154522
0.13
0.8753
|

Residual |

15600.6308

194

80.4156228

----------+--------------------------------------------------Total |
17878.875
199
89.843593
These results indicate that the overall model is statistically significant (F = 5.67, p =
0.001). The variables female and ses are also statistically significant (F = 16.59, p =
0.0001 and F = 6.61, p = 0.0017, respectively). However, that interaction
betweenfemale and ses is not statistically significant (F = 0.13, p = 0.8753).

See also
Stata Frequently Asked Questions
Stata Textbook Examples, Design and Analysis, Chapter 11
Stata Textbook Examples, Experimental Design, Chapter 9
Stata Code Fragment: ANOVA

Friedman test
You perform a Friedman test when you have one within-subjects independent variable
with two or more levels and a dependent variable that is not interval and normally
distributed (but at least ordinal). We will use this test to determine if there is a
difference in the reading, writing and math scores. The null hypothesis in this test is
that the distribution of the ranks of each type of score (i.e., reading, writing and math)
are the same. To conduct the Friedman test in Stata, you need to first download
the friedman program that performs this test. You can download friedman from within
Stata by typing findit friedman (seeHow can I used the findit command to search for
programs and get additional help? for more information about using findit). Also, your
data will need to be transposed such that subjects are the columns and the variables
are the rows. We will use thexpose command to arrange our data this way.

use
http://www.ats.ucla.edu/stat/stata/notes/hsb
2
keep read write math
xpose, clear
friedman v1-v200
Friedman = 0.6175
Kendall = 0.0015

P-value = 0.7344
Friedman's chi-square has a value of 0.6175 and a p-value of 0.7344 and is not
statistically significant. Hence, there is no evidence that the distributions of the three
types of scores are different.

Ordered logistic regression

Ordered logistic regression is used when the dependent variable is ordered, but not
continuous. For example, using the hsb2 data file we will create an ordered variable
called write3. This variable will have the values 1, 2 and 3, indicating a low, medium or
high writing score. We do not generally recommend categorizing a continuous variable
in this way; we are simply creating a variable to use for this example. We will use
gender (female), reading score (read) and social studies score (socst) as predictor
variables in this model.

use
http://www.ats.ucla.edu/stat/stata/notes/hsb
2
generate write3 = 1
replace write3 = 2 if write >= 49 & write <=
57
replace write3 = 3 if write >= 58 & write <=
70
ologit write3 female read socst
Iteration
Iteration
Iteration
Iteration
Iteration

0:
1:
2:
3:
4:

log
log
log
log
log

likelihood
likelihood
likelihood
likelihood
likelihood

=
=
=
=
=

-218.31357
-157.692
-156.28133
-156.27632
-156.27632

Ordered logistic regression

Number of obs
=
200
LR chi2(3)

124.07

Prob > chi2

=
0.0000
Log likelihood = -156.27632
Pseudo R2
=
0.2842
-----------------------------------------------------------------------------

write3 |
Coef.
Std. Err.
z
P>|z|
[95% Conf. Interval]
------------+--------------------------------------------------------------female |
1.285435
.3244567
3.96
0.000
.6495115
1.921359
read |
.1177202
.0213565
5.51
0.000
.0758623
.1595781
socst |
.0801873
.0194432
4.12
0.000
.0420794
.1182952
------------+--------------------------------------------------------------/cut1 |
9.703706
1.197002
7.357626
12.04979
/cut2 |
11.8001
1.304306
9.243705
14.35649
----------------------------------------------------------------------------The results indicate that the overall model is statistically significant (p < .0000), as are
each of the predictor variables (p < .000). There are two cutpoints for this model
because there are three levels of the outcome variable.
One of the assumptions underlying ordinal logistic (and ordinal probit) regression is that
the relationship between each pair of outcome groups is the same. In other words,
ordinal logistic regression assumes that the coefficients that describe the relationship
between, say, the lowest versus all higher categories of the response variable are the
same as those that describe the relationship between the next lowest category and all
higher categories, etc. This is called the proportional odds assumption or the parallel
regression assumption. Because the relationship between all pairs of groups is the
same, there is only one set of coefficients (only one model). If this was not the case,
we would need different models (such as a generalized ordered logit model) to
describe the relationship between each pair of outcome groups. To test this
assumption, we can use either theomodel command (findit omodel, see How can I
used the findit command to search for programs and get additional help? for more
information about using findit) or the brant command. We will show both below.

omodel logit write3 female read socst

Iteration 0:
Iteration 1:
Iteration 2:

log likelihood = -218.31357

log likelihood = -158.87444
log likelihood = -156.35529

Iteration 3:
Iteration 4:

log likelihood = -156.27644

log likelihood = -156.27632

Ordered logit estimates

Number of obs
=
LR chi2(3)

200

124.07

Prob > chi2

=
0.0000
Log likelihood = -156.27632
Pseudo R2
=
0.2842
----------------------------------------------------------------------------write3 |
Coef.
Std. Err.
z
P>|z|
[95% Conf. Interval]
------------+--------------------------------------------------------------female |
1.285435
.3244565
3.96
0.000
.649512
1.921358
read |
.1177202
.0213564
5.51
0.000
.0758623
.159578
socst |
.0801873
.0194432
4.12
0.000
.0420794
.1182952
------------+--------------------------------------------------------------_cut1 |
9.703706
1.197
(Ancillary parameters)
_cut2 |
11.8001
1.304304
----------------------------------------------------------------------------Approximate likelihood-ratio test of
proportionality of odds
across response categories:
chi2(3) =
2.03
Prob > chi2 =
0.5658

brant, detail
Estimated coefficients from j-1 binary
regressions
female
read
socst
_cons

y>1
1.5673604
.11712422
.0842684
-10.001584

y>2
1.0629714
.13401723
.06429241
-11.671854

Brant Test of Parallel Regression Assumption

Variable |
chi2
p>chi2
df
-------------+-------------------------All |
2.07
0.558
3
-------------+-------------------------female |
1.08
0.300
1
read |
0.26
0.608
1
socst |
0.52
0.470
1
---------------------------------------A significant test statistic provides
evidence that the parallel
regression assumption has been violated.
Both of these tests indicate that the proportional odds assumption has not been
violated.

See also
Stata FAQ: In ordered probit and logit, what are the cut
points?
Stata Annotated Output: Ordered logistic regression

Factorial logistic regression

A factorial logistic regression is used when you have two or more categorical
independent variables but a dichotomous dependent variable. For example, using
the hsb2 data file we will use female as our dependent variable, because it is the only

dichotomous (0/1) variable in our data set; certainly not because it common practice to
use gender as an outcome variable. We will use type of program (prog) and school
type (schtyp) as our predictor variables. Because prog is a categorical variable (it has
three levels), we need to create dummy codes for it. The use of i.prog does this. You
can use the logit command if you want to see the regression coefficients or
the logistic command if you want to see the odds ratios.

logit female i.prog##schtyp

Iteration
Iteration
Iteration
Iteration

0:
1:
2:
3:

log
log
log
log

Logistic regression
Number of obs
=

likelihood
likelihood
likelihood
likelihood

LR chi2(5)

=
=
=
=

-137.81834
-136.25886
-136.24502
-136.24501

200
3.15

Prob > chi2

=
0.6774
Log likelihood = -136.24501
Pseudo R2
=
0.0114
----------------------------------------------------------------------------female |
Coef.
Std. Err.
z
P>|z|
[95% Conf. Interval]
------------+--------------------------------------------------------------prog |
2 |
.3245866
.3910782
0.83
0.407
-.4419125
1.091086
3 |
.2183474
.4319116
0.51
0.613
-.6281839
1.064879
|
2.schtyp |
1.660724
1.141326
1.46
0.146
-.5762344
3.897683
|
prog#schtyp |

2 2 | -1.934018
1.232722
-1.57
0.117
-4.350108
.4820729
3 2 | -1.827778
1.840256
-0.99
0.321
-5.434614
1.779057
|
_cons | -.0512933
.3203616
-0.16
0.873
-.6791906
.576604
----------------------------------------------------------------------------The results indicate that the overall model is not statistically significant (LR chi2 = 3.15,
p = 0.6774). Furthermore, none of the coefficients are statistically significant either.
We can use the test command to get the test of the overall effect of prog as shown
below. This shows that the overall effect of prog is not statistically significant.

test 2.prog 3.prog

( 1)
( 2)

[female]2.prog = 0
[female]3.prog = 0
chi2( 2) =
Prob > chi2 =

0.69
0.7086

Likewise, we can use the testparm command to get the test of the overall effect of
the prog by schtyp interaction, as shown below. This shows that the overall effect of
this interaction is not statistically significant.

testparm prog#schtyp
( 1)
( 2)

[female]2.prog#2.schtyp = 0
[female]3.prog#2.schtyp = 0
chi2( 2) =
Prob > chi2 =

2.47
0.2902

If you prefer, you could use the logistic command to see the results as odds ratios, as
shown below.

logistic female i.prog##schtyp

Logistic regression
Number of obs
=
LR chi2(5)

200
3.15

Prob > chi2

=
0.6774
Log likelihood = -136.24501
Pseudo R2
=
0.0114
----------------------------------------------------------------------------female | Odds Ratio
Std. Err.
z
P>|z|
[95% Conf. Interval]
------------+--------------------------------------------------------------prog |
2 |
1.383459
.5410405
0.83
0.407
.6428059
2.977505
3 |
1.244019
.5373063
0.51
0.613
.5335599
2.900487
|
2.schtyp |
5.263121
6.006939
1.46
0.146
.5620107
49.28811
|
prog#schtyp |
2 2 |
.1445662
.1782099
-1.57
0.117
.0129054
1.619428
3 2 |
.1607704
.2958586
-0.99
0.321
.0043629
5.924268
----------------------------------------------------------------------------Correlation
A correlation is useful when you want to see the linear relationship between two (or
more) normally distributed interval variables. For example, using the hsb2 data file we
can run a correlation between two continuous variables, read and write.

corr read write

(obs=200)
|
read
write
-------------+-----------------read |
1.0000

write |

0.5968

1.0000

In the second example, we will run a correlation between a dichotomous

variable, female, and a continuous variable, write. Although it is assumed that the
variables are interval and normally distributed, we can include dummy variables when
performing correlations.

corr female write

(obs=200)
|
female
write
-------------+-----------------female |
1.0000
write |
0.2565
1.0000
In the first example above, we see that the correlation between read and write is
0.5968. By squaring the correlation and then multiplying by 100, you can determine
what percentage of the variability is shared. Let's round 0.5968 to be 0.6, which when
squared would be .36, multiplied by 100 would be 36%. Hence read shares about 36%
of its variability with write. In the output for the second example, we can see the
correlation between write and female is 0.2565. Squaring this number yields .
06579225, meaning that female shares approximately 6.5% of its variability with write.

See also
Annotated Stata Output: Correlation
Stata Teaching Tools
Stata Learning Module: A Statistical Sampler in Stata
Stata Programs for Data Analysis
Stata Class Notes: Exploring Data
Stata Class Notes: Analyzing Data

Simple linear regression

Simple linear regression allows us to look at the linear relationship between one
normally distributed interval predictor and one normally distributed interval outcome
variable. For example, using the hsb2 data file, say we wish to look at the relationship
between writing scores (write) and reading scores (read); in other words,
predicting write from read.

regress write read

----------------------------------------------------------------------------write |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
------------+--------------------------------------------------------------read |
.5517051
.0527178
10.47
0.000
.4477446
.6556656
_cons |
23.95944
2.805744
8.54
0.000
18.42647
29.49242
----------------------------------------------------------------------------We see that the relationship between write and read is positive (.5517051) and based
on the t-value (10.47) and p-value (0.000), we would conclude this relationship is
statistically significant. Hence, we would say there is a statistically significant positive
linear relationship between reading and writing.

See also
Regression With Stata: Chapter 1 - Simple and Multiple
Regression
Stata Annotated Output: Regression
Stata Frequently Asked Questions
Stata Topics: Regression
Stata Textbook Example: Introduction to the Practice of
Statistics, Chapter 10
Stata Textbook Examples: Regression with Graphics,
Chapter 2
Stata Textbook Examples: Applied Regression Analysis,
Chapter 5

Non-parametric correlation
A Spearman correlation is used when one or both of the variables are not assumed to
be normally distributed and interval (but are assumed to be ordinal). The values of the

variables are converted in ranks and then correlated. In our example, we will look for a
relationship between read and write. We will not assume that both of these variables
are normal and interval .

spearman read write

Number of obs =
200
Spearman's rho =
0.6167
Test of Ho: read and write are independent
Prob > |t| =
0.0000
The results suggest that the relationship between read and write (rho = 0.6167, p =
0.000) is statistically significant.

Simple logistic regression

Logistic regression assumes that the outcome variable is binary (i.e., coded as 0 and
1). We have only one variable in the hsb2 data file that is coded 0 and 1, and that
is female. We understand that female is a silly outcome variable (it would make more
sense to use it as a predictor variable), but we can use female as the outcome variable
to illustrate how the code for this command is structured and how to interpret the
output. The first variable listed after the logistic (or logit) command is the outcome (or
dependent) variable, and all of the rest of the variables are predictor (or independent)
variables. You can use thelogit command if you want to see the regression
coefficients or the logistic command if you want to see the odds ratios. In our
example, female will be the outcome variable, and read will be the predictor variable.
As with OLS regression, the predictor variables must be either dichotomous or
continuous; they cannot be categorical.

logistic female read

Logit estimates
Number of obs
=
LR chi2(1)

200
0.56

Prob > chi2

=
0.4527
Log likelihood = -137.53641
Pseudo R2
=
0.0020
----------------------------------------------------------------------------female | Odds Ratio
Std. Err.
z
P>|z|
[95% Conf. Interval]

------------+--------------------------------------------------------------read |
.9896176
.0137732
-0.75
0.453
.9629875
1.016984
----------------------------------------------------------------------------logit female read
Iteration 0:
log likelihood = -137.81834
Iteration 1:
log likelihood = -137.53642
Iteration 2:
log likelihood = -137.53641
Logit estimates
Number of obs
=
LR chi2(1)

200
0.56

Prob > chi2

=
0.4527
Log likelihood = -137.53641
Pseudo R2
=
0.0020
----------------------------------------------------------------------------female |
Coef.
Std. Err.
z
P>|z|
[95% Conf. Interval]
------------+--------------------------------------------------------------read | -.0104367
.0139177
-0.75
0.453
-.0377148
.0168415
_cons |
.7260875
.7419612
0.98
0.328
-.7281297
2.180305
----------------------------------------------------------------------------The results indicate that reading score (read) is not a statistically significant predictor of
gender (i.e., being female), z = -0.75, p = 0.453. Likewise, the test of the overall model
is not statistically significant, LR chi-squared 0.56, p = 0.4527.

See also

 Stata Textbook Examples: Applied Logistic Regression (2nd

Ed) Chapter 1
Stata Web Books: Logistic Regression in Stata
Stata Topics: Logistic Regression
Stata Data Analysis Example: Logistic Regression
Annotated Stata Output: Logistic Regression Analysis
Stata FAQ: How do I interpret odds ratios in logistic
regression?
Stata Library
Teaching Tools: Graph Logistic Regression Curve

Multiple regression
Multiple regression is very similar to simple regression, except that in multiple
regression you have more than one predictor variable in the equation. For example,
using the hsb2 data file we will predict writing score from gender (female), reading,
math, science and social studies (socst) scores.

regress write female read math science socst

Source
|
SS
df
MS
Number of obs =
200
-------------+-----------------------------F( 5,
194) =
58.60
Model | 10756.9244
5 2151.38488
Prob > F
= 0.0000
Residual |
7121.9506
194 36.7110855
R-squared
= 0.6017
-------------+-----------------------------Adj R-squared = 0.5914
Total |
17878.875
199
89.843593
Root MSE
=
6.059
-----------------------------------------------------------------------------

write |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
------------+--------------------------------------------------------------female |
5.492502
.8754227
6.27
0.000
3.765935
7.21907
read |
.1254123
.0649598
1.93
0.055
-.0027059
.2535304
math |
.2380748
.0671266
3.55
0.000
.1056832
.3704665
science |
.2419382
.0606997
3.99
0.000
.1222221
.3616542
socst |
.2292644
.0528361
4.34
0.000
.1250575
.3334713
_cons |
6.138759
2.808423
2.19
0.030
.599798
11.67772
----------------------------------------------------------------------------The results indicate that the overall model is statistically significant (F = 58.60, p =
0.0000). Furthermore, all of the predictor variables are statistically significant except
for read.

See also
Regression with Stata: Lesson 1 - Simple and Multiple
Regression
Annotated Output: Multiple Linear Regression
Stata Annotated Output: Regression
Stata Teaching Tools
Stata Textbook Examples: Applied Linear Statistical Models
Stata Textbook Examples: Introduction to the Practice of
Statistics, Chapter 11
Stata Textbook Examples: Regression Analysis by Example,
Chapter 3

Analysis of covariance
Analysis of covariance is like ANOVA, except in addition to the categorical predictors
you also have continuous predictors as well. For example, the one way ANOVA
example used write as the dependent variable and prog as the independent variable.
Let's add read as a continuous variable to this model, as shown below.

anova write prog c.read

Number of obs =
0.3925
7.44408

200

R-squared

Root MSE
Adj R-squared = 0.3832

=
=

Source | Partial SS
df
MS
F
Prob > F
----------+--------------------------------------------------Model | 7017.68123
3 2339.22708
42.21
0.0000
|
prog | 650.259965
2 325.129983
5.87
0.0034
read | 3841.98338
1 3841.98338
69.33
0.0000
|
Residual | 10861.1938
196 55.4142539
---------+--------------------------------------------------Total |
17878.875
199
89.843593
The results indicate that even after adjusting for reading score (read), writing scores
still significantly differ by program type (prog) F = 5.87, p = 0.0034.

See also
Stata Textbook Examples: Design and Analysis, Chapter 14
Stata Textbook Examples: Experimental Design by Roger
Kirk, Chapter 15

 Stata Code Fragment: ANOVA

Multiple logistic regression

Multiple logistic regression is like simple logistic regression, except that there are two
or more predictors. The predictors can be interval variables or dummy variables, but
cannot be categorical variables. If you have categorical predictors, they should be
coded into one or more dummy variables. We have only one variable in our data set
that is coded 0 and 1, and that is female. We understand that female is a silly
outcome variable (it would make more sense to use it as a predictor variable), but we
can use female as the outcome variable to illustrate how the code for this command is
structured and how to interpret the output. The first variable listed after
the logistic (or logit) command is the outcome (or dependent) variable, and all of the
rest of the variables are predictor (or independent) variables. You can use
the logit command if you want to see the regression coefficients or
the logistic command if you want to see the odds ratios. In our example, female will
be the outcome variable, and read andwrite will be the predictor variables.

logistic female read write

Logit estimates
Number of obs
=
LR chi2(2)

200
27.82

Prob > chi2

=
0.0000
Log likelihood = -123.90902
Pseudo R2
=
0.1009
----------------------------------------------------------------------------female | Odds Ratio
Std. Err.
z
P>|z|
[95% Conf. Interval]
------------+--------------------------------------------------------------read |
.9314488
.0182578
-3.62
0.000
.8963428
.9679298
write |
1.112231
.0246282
4.80
0.000
1.064993
1.161564
----------------------------------------------------------------------------These results show that both read and write are significant predictors of female.

See also
Stata Annotated Output: Logistic Regression
Stata Library
Stata Web Books: Logistic Regression with Stata
Stata Topics: Logistic Regression
Stata Textbook Examples: Applied Logistic Regression,
Chapter 2
Stata Textbook Examples: Applied Regression Analysis,
Chapter 8
Stata Textbook Examples: Introduction to Categorical
Analysis, Chapter 5
Stata Textbook Examples: Regression Analysis by Example,
Chapter 12

Discriminant analysis
Discriminant analysis is used when you have one or more normally distributed interval
independent variables and a categorical dependent variable. It is a multivariate
technique that considers the latent dimensions in the independent variables for
predicting group membership in the categorical dependent variable. For example,
using the hsb2 data file, say we wish to useread, write and math scores to predict the
type of program a student belongs to (prog). For this analysis, you need to first
download the daoneway program that performs this test. You can
download daoneway from within Stata by typing findit daoneway (see How can I used
the findit command to search for programs and get additional help? for more
information about using findit).
You can then perform the discriminant function analysis like this.

daoneway read write math, by(prog)

One-way Disciminant Function Analysis
Observations = 200
Variables
= 3
Groups
= 3

Pct of

Cum

Canonical

After Wilks'
Fcn Eigenvalue Variance Pct
Corr
Fcn Lambda Chi-square df P-value
0
1

0.73398
60.619
6
0.0000
1
0.3563
98.74 98.74
0.5125
0.99548
0.888
2
0.6414
2
0.0045
1.26 100.00
0.0672

|
|
|

Unstandardized canonical discriminant

function coefficients
read
write
math
_cons

func1
0.0292
0.0383
0.0703
-7.2509

func2
-0.0439
0.1370
-0.0793
-0.7635

Standardized canonical discriminant function

coefficients
read
write
math

func1
0.2729
0.3311
0.5816

func2
-0.4098
1.1834
-0.6557

Canonical discriminant structure matrix

read
write
math

func1
0.7785
0.7753
0.9129

func2
-0.1841
0.6303
-0.2725

Group means on canonical discriminant

functions
func1

func2

prog-1
prog-2
prog-3

-0.3120
0.5359
-0.8445

0.1190
-0.0197
-0.0658

Clearly, the Stata output for this procedure is lengthy, and it is beyond the scope of this
page to explain all of it. However, the main point is that two canonical variables are
identified by the analysis, the first of which seems to be more related to program type
than the second. For more information, see this page on discriminant function
analysis.

See also

Stata Data Analysis Examples: Discriminant Function Analysis

One-way MANOVA
MANOVA (multivariate analysis of variance) is like ANOVA, except that there are two or
more dependent variables. In a one-way MANOVA, there is one categorical
independent variable and two or more dependent variables. For example, using
the hsb2 data file, say we wish to examine the differences
in read, write and math broken down by program type (prog). For this analysis, you
can use the manova command and then perform the analysis like this.

manova read write math = prog,

category(prog)
Number of obs =
200
W = Wilks' lambda
Lawley-Hotelling trace
P = Pillai's trace
Roy's largest root

L =
R =

Source | Statistic
df
F(df1,
df2) =
F
Prob>F
----------+------------------------------------------------prog | W
0.7340
2
6.0
390.0
10.87 0.0000 e
| P
0.2672
6.0
392.0
10.08 0.0000 a
| L
0.3608
6.0
388.0
11.67 0.0000 a

196.0

| R
0.3563
23.28 0.0000 u

3.0

|------------------------------------------------Residual |
197
----------+------------------------------------------------Total |
199
------------------------------------------------------------e = exact, a = approximate, u
= upper bound on F
This command produces three different test statistics that are used to evaluate the
statistical significance of the relationship between the independent variable and the
outcome variables. According to all three criteria, the students in the different
programs differ in their joint distribution of read, write and math.
See also

Stata Data Analysis Examples: One-way MANOVA

Stata Annotated Output: One-way MANOVA

Stata FAQ: How can I do multivariate repeated measures in

Stata?

Multivariate multiple regression

Multivariate multiple regression is used when you have two or more dependent
variables that are to be predicted from two or more predictor variables. In our example,
we will predict write and read from female, math, science and social studies (socst)
scores.

mvreg write read = female math science socst

Equation
Obs Parms
RMSE
"R-sq"
F
P
--------------------------------------------------------------------write
200
5
6.101191
0.5940
71.32457
0.0000

read
0.5841

200
5
68.4741
0.0000

6.679383

----------------------------------------------------------------------------|
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
------------+--------------------------------------------------------------write
|
female |
5.428215
.8808853
6.16
0.000
3.69093
7.165501
math |
.2801611
.0639308
4.38
0.000
.1540766
.4062456
science |
.2786543
.0580452
4.80
0.000
.1641773
.3931313
socst |
.2681117
.049195
5.45
0.000
.1710892
.3651343
_cons |
6.568924
2.819079
2.33
0.021
1.009124
12.12872
------------+--------------------------------------------------------------read
|
female |
-.512606
.9643644
-0.53
0.596
-2.414529
1.389317
math |
.3355829
.0699893
4.79
0.000
.1975497
.4736161
science |
.2927632
.063546
4.61
0.000
.1674376
.4180889
socst |
.3097572
.0538571
5.75
0.000
.2035401
.4159744
_cons |
3.430005
3.086236
1.11
0.268
-2.656682
9.516691
-----------------------------------------------------------------------------

Many researchers familiar with traditional multivariate analysis may not recognize the
tests above. They do not see Wilks' Lambda, Pillai's Trace or the Hotelling-Lawley
Trace statistics, the statistics with which they are familiar. It is possible to obtain these
statistics using the mvtest command written by David E. Moore of the University of
Cincinnati. UCLA updated this command to work with Stata 6 and above. You can
download mvtest from within Stata by typing findit mvtest (see How can I used the
findit command to search for programs and get additional help? for more information
about using findit).
Now that we have downloaded it, we can use the command shown below.

mvtest female
MULTIVARIATE TESTS OF

SIGNIFICANCE

Multivariate Test Criteria and Exact F

Statistics for
the Hypothesis of no Overall "female"
Effect(s)
S=1

M=0

N=96

Test
F
Num DF
Wilks' Lambda
19.8513
Pillai's Trace
19.8513
Hotelling-Lawley
19.8513

Value
Den DF
Pr > F
0.83011470
2
194.0000
0.0000
0.16988530
2
194.0000
0.0000
Trace
0.20465280
2
194.0000
0.0000

These results show that female has a significant relationship with the joint distribution
of write and read. The mvtest command could then be repeated for each of the other
predictor variables.
See also

Regression with Stata: Chapter 4, Beyond OLS

Stata Data Analysis Examples: Multivariate Multiple
Regression

 Stata Textbook Examples, Econometric Analysis, Chapter 16

Canonical correlation
Canonical correlation is a multivariate technique used to examine the relationship
between two groups of variables. For each set of variables, it creates latent variables
and looks at the relationships among the latent variables. It assumes that all variables
in the model are interval and normally distributed. Stata requires that each of the two
groups of variables be enclosed in parentheses. There need not be an equal number
of variables in the two groups.

canon (read write) (math science)

Linear combinations for canonical
correlation 1
Number of obs =
200
----------------------------------------------------------------------------|
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
------------+--------------------------------------------------------------u
|
read |
.0632613
.007111
8.90
0.000
.0492386
.077284
write |
.0492492
.007692
6.40
0.000
.0340809
.0644174
------------+--------------------------------------------------------------v
|
math |
.0669827
.0080473
8.32
0.000
.0511138
.0828515
science |
.0482406
.0076145
6.34
0.000
.0332252
.0632561
----------------------------------------------------------------------------(Std. Errors estimated conditionally)
Canonical correlations:
0.7728 0.0235

The output above shows the linear combinations corresponding to the first canonical
correlation. At the bottom of the output are the two canonical correlations. These
results indicate that the first canonical correlation is .7728. You will note that Stata is
brief and may not provide you with all of the information that you may want. Several
programs have been developed to provide more information regarding the analysis.
You can download this family of programs by typing findit cancor (see How can I used
the findit command to search for programs and get additional help? for more
information about using findit).
Because the output from the cancor command is lengthy, we will use
the cantest command to obtain the eigenvalues, F-tests and associated p-values that
we want. Note that you do not have to specify a model with either the cancor or
the cantestcommands if they are issued after the canon command.

cantest
Canon
Can Corr
Likelihood
Corr
Squared
Ratio
df1
df2
Pr > F
7728
.59728
0.4025
4
392.000
0.0000
0235
.00055
0.9994
1
197.000
0.7420
Eigenvalue
1.4831
0.0006

Proportion
0.9996
0.0004

Approx

56.4706
0.1087

Cumulative
0.9996
1.0000

The F-test in this output tests the hypothesis that the first canonical correlation is equal
to zero. Clearly, F = 56.4706 is statistically significant. However, the second canonical
correlation of .0235 is not statistically significantly different from zero (F = 0.1087, p =
0.7420).

See also
Stata Data Analysis Examples: Canonical Correlation
Analysis
Stata Annotated Output: Canonical Correlation Analysis
Stata Textbook Examples: Computer-Aided Multivariate
Analysis, Chapter 10

Factor analysis
Factor analysis is a form of exploratory multivariate analysis that is used to either
reduce the number of variables in a model or to detect relationships among variables.

All variables involved in the factor analysis need to be continuous and are assumed to
be normally distributed. The goal of the analysis is to try to identify factors which
underlie the variables. There may be fewer factors than variables, but there may not
be more factors than variables. For our example, let's suppose that we think that there
are some common factors underlying the various test scores. We will first use the
principal components method of extraction (by using the pc option) and then the
principal components factor method of extraction (by using the pcf option). This
parallels the output produced by SAS and SPSS.

factor read write math science socst, pc

(obs=200)
(principal components; 5
components retained)
Component
Eigenvalue
Difference
Proportion
Cumulative
----------------------------------------------------------------1
3.38082
2.82344
0.6762
0.6762
2
0.55738
0.15059
0.1115
0.7876
3
0.40679
0.05062
0.0814
0.8690
4
0.35617
0.05733
0.0712
0.9402
5
0.29884
.
0.0598
1.0000
Eigenvectors
Variable |
1
2
3
4
5
------------+----------------------------------------------------read |
0.46642
-0.02728
-0.53127
-0.02058
-0.70642
write |
0.44839
0.20755
0.80642
0.05575
-0.32007

math |
0.45878
-0.26090
-0.00060
-0.78004
0.33615
science |
0.43558
-0.61089
-0.00695
0.58948
0.29924
socst |
0.42567
0.71758
-0.25958
0.20132
0.44269
Now let's rerun the factor analysis with a principal component factors extraction method
and retain factors with eigenvalues of .5 or greater. Then we will use a varimax rotation
on the solution.

factor read write math science socst, pcf

mineigen(.5)
(obs=200)
(principal component factors; 2
factors retained)
Factor
Eigenvalue
Difference
Proportion
Cumulative
----------------------------------------------------------------1
3.38082
2.82344
0.6762
0.6762
2
0.55738
0.15059
0.1115
0.7876
3
0.40679
0.05062
0.0814
0.8690
4
0.35617
0.05733
0.0712
0.9402
5
0.29884
.
0.0598
1.0000
Factor Loadings
Variable |
1
2
Uniqueness
------------+-------------------------------read |
0.85760
-0.02037
0.26410

write |
0.29627

math |

0.25048
science |
0.15054
socst |
0.10041
rotate, varimax

0.82445

0.15495

0.84355

-0.19478

0.80091

-0.45608

0.78268

0.53573

(varimax rotation)
Rotated Factor Loadings
Variable |
1
2
Uniqueness
------------+-------------------------------read |
0.64808
0.56204
0.26410
write |
0.50558
0.66942
0.29627
math |
0.75506
0.42357
0.25048
science |
0.89934
0.20159
0.15054
socst |
0.21844
0.92297
0.10041
Note that by default, Stata will retain all factors with positive eigenvalues; hence the
use of the mineigen option or thefactors(#) option. The factors(#) option does not
specify the number of solutions to retain, but rather the largest number of solutions to
retain. From the table of factor loadings, we can see that all five of the test scores load
onto the first factor, while all five tend to load not so heavily on the second factor.
Uniqueness (which is the opposite of commonality) is the proportion of variance of the
variable (i.e., read) that is not accounted for by all of the factors taken together, and a
very high uniqueness can indicate that a variable may not belong with any of the
factors. Factor loadings are often rotated in an attempt to make them more
interpretable. Stata performs both varimax and promax rotations.

rotate, varimax
(varimax rotation)
Rotated Factor Loadings

Variable |
1
2
Uniqueness
------------+-------------------------------read |
0.62238
0.51992
0.34233
write |
0.53933
0.54228
0.41505
math |
0.65110
0.45408
0.36988
science |
0.64835
0.37324
0.44033
socst |
0.44265
0.58091
0.46660
The purpose of rotating the factors is to get the variables to load either very high or
very low on each factor. In this example, because all of the variables loaded onto
factor 1 and not on factor 2, the rotation did not aid in the interpretation. Instead, it
made the results even more difficult to interpret.
To obtain a scree plot of the eigenvalues, you can use the greigen command. We
have included a reference line on the y-axis at one to aid in determining how many
factors should be retained.

greigen, yline(1)

See also