Re: st: Comparing coefficients between two samples

[John Antonakis <John.Antonakis@unil.ch>]

I don't think it would be a problem if your equation is overidentified. 
If you are worried about having an endogenous dummy, that should not be 
a problem either.  Check out the paper by Angrist:

http://ideas.repec.org/p/nbr/nberte/0248.html

Perhaps others have ideas.

Best,
J.

____________________________________________________

Prof. John Antonakis
Associate Dean 
Faculty of Business and Economics
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland

Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305

e-mail: john.antonakis@unil.ch

____________________________________________________



On 30.03.2009 20:26, Erasmo Giambona wrote:
> Dear John,
>
> Thanks very much for your suggestion. I wonder whether this would
> still be fine when the variable of interest is the endogenous
> variable.
>
> Regards,
>
> Erasmo
>
> On Mon, Mar 30, 2009 at 6:32 PM, JOHN ANTONAKIS <john.antonakis@unil.ch> wrote:
>   
> > Hi Erasmo:
> >
> > One solution may be to create an indicator variable (for the groups) that
> > you interact with your variables of interest?  A significant interaction
> > indicates that the coefficients are not the same across the two groups.
> >
> > HTH,
> > John.
> >
> > ____________________________________________________
> >
> > Prof. John Antonakis
> > Associate Dean Faculty of Business and Economics
> > University of Lausanne
> > Internef #618
> > CH-1015 Lausanne-Dorigny
> > Switzerland
> >
> > Tel ++41 (0)21 692-3438
> > Fax ++41 (0)21 692-3305
> >
> > ____________________________________________________
> >
> >
> >
> > On 30.03.2009 17:06, Erasmo Giambona wrote:
> >     
> > > Dear Statalist,
> > >
> > > I am fitting the same exact model to two different samples using
> > > xtivreg2. I would like to test whether the coefficients on the
> > > endogenous variables are statistically different from each other
> > > across the two groups.
> > >
> > > I understand that this test can be performed with suest after regress,
> > > but suest does not work after xtivreg2.
> > >
> > > I would appreciate any suggestions on how I could perform this test in
> > > this case.
> > >
> > > Regards,
> > >
> > > Erasmo
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