st: Test of equality of the coefficients between two samples endogeneity and IVREG2

[Kit Baum <baum@bc.edu>]

The Chow test, in OLS or IV, can always be expressed in terms of  
creating a dummy--in your case for the sample, 0=sample A, 1=sample  
B, and interacting it with the regressors. The regression then is  
augmented with the dummy (which is a constant term shift for sample  
B) and the interacted regressors. The joint test that the dummy  
coefficient and all interactions are zero is the 'Chow test'. Each  
interaction term's coefficient is a test for equality of that  
coefficient across samples. You normally have to worry about  
heteroskedasticity caused by pooling in this context, but since  
you're using GMM, it will take care of it and 'robustify' the F- and  
t-statistics.

In the context of instrumental variables, you will of course have to  
consider (migrated*dummy) to be an additional endogenous regressor  
and find an instrument for it.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html


On Nov 23, 2005, at 2:33 AM, Nasser wrote:


> I am using IVREG2 with gmm option to estimate the coefficient of a
> dichotomous endogenous variable (migrated=3D1 or 0).  I apply the  
> model=
>  to
> two samples.  I would like to test for the equality of the two  
> coeffici=
> ents
> between the two samples.  Is there a particular test in IVREG2  
> (with gm=
> m
> option) that is equivalent to OLS Chew test?
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