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Godiva wanted to do
ivregress y (a = x y z) b c
est store one
ivregress y (a = x y z) b c d
est store two
suest one two
Actually this is not workable code, as -ivregress- (unlike -ivreg2-
from SSC or -ivreg-) requires a second argument (such as 2sls). But
you don't need to do the test to determine whether the coefficients of
'a' are the same. If the coefficient of 'd' is significantly different
than zero in the second regression, then the first regression is
misspecified, and should be discarded: and vice versa. As the second
model nests the other, there is no need to consider them as competing
models, as one of them must be misspecified.
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming
| http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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