st: Chow test in nonlinear model

[Giulio Zanella <zanegi@tiscali.it>]

Dear Stata users,

I would like to run a Chow test for equality of coefficients across two 
Probit models.

A procedure that works in linear models, as previously discussed here, is 
the following:

The model is:

y = a1 + b1*x1 + c1*x2 + u         for group 1

y = a2 + b2*x1 + c2*x2 + u         for group 2

But we can collapse the two equations:

y = a3 + b3*x1 + c3*x2 + a3'*g2 + b3'*g2*x1 + c3'*g2*x2 + u,

where g2=1 if group is 2 and g2=0 otherwise, estimate this and then test 
that  g2 g2*x1 and g2*x2 are all equal to zero.

Intuitively, this procedure should work in a nonlinear model too, but I 
wonder whether this hides some pitfall.

Any hint would be appreciated.

Many thanks

Giulio Zanella

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