st: compare coefficients from two fixed-effects models

[Jeremy Reynolds <jeremyr@uga.edu>]

Dear All,

I would like to estimate two fixed-effects regressions using the same 
sample and independent variables but different dependent variables.  
Then I would like to compare the coefficients for one or more of the 
independent variables across the two equations.  The issue has arisen in 
an attempt to implement Jeffrey Edwards' alternative approach to using 
difference scores as dependent variables with a large panel data set 
with up to three observations for each respondent (Edwards 1995, 
Organizational Behavior and Human Decision Processes 64(3) 307-324).

If I were estimating regular OLS models, mvreg would provide a nice way 
to compare the coefficients across models, but I'm not sure what the 
best approach is with fixed-effects models.
I have listed three options below, but all of them leave me with 
questions and there may be better alternatives.

I would appreciate any guidance you may have.

Thanks,

Jeremy

Option 1: use xtreg, fe to estimate the regressions and suest to compare 
coefficients
Question: Is the suest command appropriate here?
xtreg Y1 X1 X2, i(id) fe
est store eqn1
xtreg Y2 X1 X2, i(id) fe
est store eqn2
suest eqn1 eqn2
test [eqn1=eqn2]: X1

Option 2: use regress with de-meaned variables and clustering/robust 
standard errors instead of the xtreg command
Question: Should the standard errors from this approach to estimating 
fixed effects be the same as with xtreg?  (They do not seem to be the same)
regress Y1 X1_demeaned X2_demeaned
est store eqn1
regress Y2 X1_demeaned X2_demeaned
est store eqn2
suest eqn1 eqn2, cluster(id)
test [eqn1=eqn2]: X1_demeaned

Option 3: rely on results from a model with the difference score as the 
dependent variable for tests
Question: The coefficients in the third equation can be obtained by 
taking the difference between those from the first two equations, but 
are the significance tests in equation 3 equivalent to the test command?
xtreg Y1 X1 X2, i(id) fe
xtreg Y2 X1 X2, i(id) fe
xtreg (Y2-Y1) = X1 X2, i(id) fe

--
********************
Dr. Jeremy Reynolds
Associate Professor
Undergraduate Coordinator
Department of Sociology
117 Baldwin Hall
University of Georgia
Athens, GA 30602-1611
Phone: (706) 583-8072
Web: http://uga.edu/soc/people/faculty/reynolds_jeremy.php
Fax: (706) 542-4320

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