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"There is a quick way to do this using -suest-"
Can you give an example? -suest- is not available after -xt- commands...
HTH
Martin
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of John Antonakis
Sent: Donnerstag, 24. September 2009 17:46
To: [email protected]
Subject: Re: st: testing across different sub-samples
Hi Francesco:
What you need to do is a Chow test--i.e., test whether the set of
coefficients differ across samples.
There is a quick way to do this using -suest-
Model the fixed effects with dummies, if you have any.
HTH,
John.
____________________________________________________
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University of Lausanne
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____________________________________________________
On 24.09.2009 15:08, Francesco Trivieri wrote:
> Dear Martin,
>
> thank you again for your answer. I thought about using a Hausman test,
> but I couldn't figure out how to actually implement it in stata for my
> case. Please find below a more detailed description of my problem:
>
>
> I am estimating the following model
>
> xtreg y b1x1 b2x2 b2x3 b4x4 b5x5 (fe or re)
>
> on two different sub-samples (A and B), which can be individuated by a
> dummy D. In both cases, I compute an index given by the sum of the
> first three coefficients (b1+b2+b3). Then I need to assess whether the
> two indexes from the two sub-samples are statistically different. In
> other words, I need to test whether (b1+b2+b3) in A = ( b1+b2+b3)
> in B.
>
> Best regards
> Francesco
>
>
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