but isn't there a constraint there that the fixed effects have the same coefficients in both samples?
----Message d'origine----
>A: [email protected]
>De: Kit Baum <[email protected]>
>Sujet: st: sub samples
>Date: Mon, 27 Feb 2006 11:24:29 -0500
>
>Jean said
>
>"Thanks Scott - though using an interaction term as your code (I
>think) implies forces the coefficients on all covariates to be the
>same across samples. I actually would want not to do that.
>
>
>----Message d'origine----
> >De: "Scott Merryman" <[email protected]>
> >A: <[email protected]>
> >Sujet: st: RE: Sub samples
> >Date: Mon, 27 Feb 2006 09:21:13 -0600
> >
> >-findit chow- points to several FAQ by William Gould that will be of
> >interest.
> >
> >Here is an example testing if the estimated coefficients for the
>postwar
> >years differ.
> >
> >webuse grunfeld, clear
> >
> >gen byte postwar_years = year >1945
> >
> >foreach var of varlist mvalue kstock {
> > gen post_`var' = postwar_years*`var'
> > }
> >
> >xtreg invest mvalue kstock post* ,fe
> >testparm post*"
>
>
>Obviously not. The whole point of allowing for interactions between
>all regressors (including the constant) and the regime dummy is to
>allow the coefficients on all variables to differ after 1945, as is
>evident if you run the example Scott has provided. The only
>restriction you are imposing in this pooled context is that you are
>assuming that there is homoskedasticity across the subsamples. You
>can deal with this by modifying the estimation command to
>
>xtreg invest mvalue kstock post* ,fe robust
>
>which should also 'robustify' the testparm F-statistic, if I'm not
>mistaken.
>
>
>Kit Baum, Boston College Economics
>http://ideas.repec.org/e/pba1.html
>
>
>*
>* For searches and help try:
>* http://www.stata.com/support/faqs/res/findit.html
>* http://www.stata.com/support/statalist/faq
>* http://www.ats.ucla.edu/stat/stata/
>
>
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
