Dear Martin and John
thank you very much for your help. I am trying to assess whether a sum of
three coefficients from a given model (fixed effexts model, as suggested by
xtoverid) is the same in two different two-samples. I have just tried the
command -suest- suggestd by John, using - reg- instead of xtreg and allowing
for fixed effects with dummies (id). Please find below the lines I wrote
xi: reg y x1 x2 x3 x4 x5 i.time i.id if D==0
estimates store zero
xi: reg y x1 x2 x3 x4 x5 i.time i.id if D==1
estimates store one
suest zero one
test
[zero_mean]x1+[zero_mean]x2+[zero_mean]x3=[one_mean]x1+[one_mean]x2+[one_mean]x3
Do you reckon is this correct?
Thanks a lot
Francesco
----- Original Message -----
From: "Martin Weiss" <[email protected]>
To: <[email protected]>
Sent: Thursday, September 24, 2009 6:06 PM
Subject: RE: st: testing across different sub-samples
<>
"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.
____________________________________________________
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
Faculty page:
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Personal page:
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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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