Re: st: testing across different sub-samples

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

Hi Martin:

I thought that he could estimate this with dummy fixed effects using -reg-

So, he simply does:

reg y x1 x2 x3 x4 x5 i.id if group ==0
est store zero
reg y x1 x2 x3 x4 x5 i.id if group ==1
est store one
suest zero one
test [zero_mean = one_mean]

Suest should be able to handle the "i.id" fixed effects, no?

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

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Personal page:
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____________________________________________________



On 24.09.2009 18:06, Martin Weiss wrote:
> <>
>
> "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: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John Antonakis
> Sent: Donnerstag, 24. September 2009 17:46
> To: statalist@hsphsun2.harvard.edu
> 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:
> http://www.hec.unil.ch/people/jantonakis&cl=en
>
> Personal page:
> http://www.hec.unil.ch/jantonakis
> ____________________________________________________
>
>
>
> 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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