Re: st: question on chow test

[Richard Williams <Richard.A.Williams.5@nd.edu>]

At 11:27 PM 2/19/2005 -0800, jiang.107 wrote:
> Hi all, any expert in chow test? I've got a question and would appreciate 
> any insight--
>
> This is from the STATA FAQ:
> to estimating the separate models
>     y = a1 + b1*x1 + c1*x2 + u         for group == 1
>     y = a2 + b2*x1 + c2*x2 + u         for group == 2
>
>     . gen g2 = (group==2)
>     . gen g2x1 = g2*x1
>     . gen g2x2 = g2*x2
>     . regress y x1 x2 g2 g2x1 g2x2
>
>
> My problem is that I've got lots of control variables on the right hand 
> side(x1,x2....x15). I'm only interested in x1 and I wanna test if the 
> coefficient of x1 is significantly different for the two groups.
> From the STATA FAQ, it looks like I need to interact each variable with 
> the group dummy, which is awkward with too many control variables in my 
> case when I only wanna test for x1.
Are you sure you want to let the effects of all the Xs differ across 
groups?  If not, you could just do

regress y x1 g2 g2x1 x2 x3 x4 etc.

The T value for g2x1 will tell you whether the slopes differ across 
groups.  Use

test g2 g2x1

if you want to see whether both the slopes and intercept differ.

If you want to let the effects of all variables differ across groups, the 
-xi- command will save you a little typing.

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