This kind of test much much easier when you estimate one model for both groups, and allow the parameters to differ across groups using interaction terms.
Hope this helps,
Maarten
-----------------------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany
http://home.fsw.vu.nl/m.buis/
-----------------------------------------
--- On Thu, 23/7/09, [email protected] <[email protected]> wrote:
> From: [email protected] <[email protected]>
> Subject: st: Wald test across equations after ivregress or ivreg2
> To: [email protected]
> Date: Thursday, 23 July, 2009, 9:43 PM
>
> I have trouble figuring out how to do a wald test after iv
> regressions
> I have 2 iv regressions of the same type with the same
> instruments for different subgroups
>
> I would like to test if the coefficients of the
> instrumented variable in the two estimations differ
> significantly (F-, or Wald-Test).
>
>
> I figured out how to do it in OLS:
>
> reg y a b c if group == 1
> est store one
> reg y a b c if group == 2
> est store two
> suest one two
>
> test var1one = var1two
>
> I would like to do the same after estimating two IV
> regressions (ivreg2 or ivregress).
>
> There was earlier a related question with following answer
> but ivreg2 has not longer the option pscore:
>
> >>There is a bug in suest. Official Stata's ivreg
> (and our ivreg2) store a score variable, on request, as
> e(pscorevar). suest will not look there for it, demanding
> that it be named in e(scorevar). So the trick is...
>
> ivreg2 ..., pscore(one)
> est store one
> est change one, scorevars(one)
> ivreg2 ..., pscore(two)
> est store two
> est change two, scorevars(two)
> suest one two
> <<
>
> Does someone know how to store the estimation results such
> that STATA can compare the coefficients over the two iv
> equations?
>
> Any help would be great
>
> godiva
> ______________________________________________________
> GRATIS für alle WEB.DE-Nutzer: Die maxdome Movie-FLAT!
> Jetzt freischalten unter http://movieflat.web.de
>
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
