***resending***
(My note was incomplete and I hit send too soon)
1. Yes; it holds for probit or logit models and for dummies. Refer to
the postestimation tests for a specific command to see what tests you
can do after different estimation procedures.
2. I would not compare standardized coefficients, it confounds
difference in the relation with differences in the variances.
3. If the test is significant, it means that the coefficients are
significantly different. You can use the -coef- option to see what the
constrained coefficient is.
J.
____________________________________________________
Prof. John Antonakis, Associate Dean
Faculty of Business and Economics
Department of Organizational Behavior
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
Personal page:
http://www.hec.unil.ch/jantonakis
____________________________________________________
On 16.01.2010 12:29, Fabio Zona wrote:
Does it hold also for probit or logit regression?? Even if the two
variables in question are dummy variables? If variables are expressed in
different scales, I do standardize them, is it correct?
Finally: if test x = z is significant, it means that I reject the
hypothesys of equality, and, hence, the two coefficients are
significanltly different (and the larger is significantly larger than
the smaller one). Is it correct? Thanks!
----- Messaggio originale -----
Da: "John Antonakis" <[email protected]>
A: [email protected]
Inviato: Sabato, 16 gennaio 2010 12:01:58 GMT +01:00
Amsterdam/Berlino/Berna/Roma/Stoccolma/Vienna
Oggetto: Re: st: testing the difference between the estimated
coefficients
Hi:
It is simply the -test- command:
reg y x z q
test x = z
Just read about the -test- command. This test constrains the
coefficients to equality and uses a nested F-test to ascertain decrement
in fit (r-square change). Of course, the usual assumptions hold
regarding whether the test can be done (e.g., that x and z are on the
same scale).
HTH,
J.
____________________________________________________
Prof. John Antonakis, Associate Dean
Faculty of Business and Economics
Department of Organizational Behavior
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
Personal page:
http://www.hec.unil.ch/jantonakis
____________________________________________________
On 16.01.2010 11:55, Fabio Zona wrote:
A related issue:
What test should I run, and what STATA commands should I type to
test whether one coefficient of a regression is larger or smaller than
another coefficient? (in the same sample, not comparison of the same
coefficient between groups, but two different coefficients on the same
sample/population and in the same regression)
Thanks!
----- Messaggio originale -----
Da: "John Antonakis" <[email protected]>
A: [email protected]
Inviato: Sabato, 16 gennaio 2010 11:10:16 GMT +01:00
Amsterdam/Berlino/Berna/Roma/Stoccolma/Vienna
Oggetto: Re: st: testing the difference between the estimated
coefficients
Hi:
This is a job for suest.
regress a b if year==2005
est store five
regress a b if year==2000
est store zero
suest five zero
test [five_mean]a = [zero_mean]b
HTH,
John.
____________________________________________________
Prof. John Antonakis, Associate Dean
Faculty of Business and Economics
Department of Organizational Behavior
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
Personal page:
http://www.hec.unil.ch/jantonakis
____________________________________________________
On 16.01.2010 04:39, Sibel S. wrote:
If we run the following regressions,
regress a b if year==2005 *equation 1
regress a b if year==2000 *equation 2
how can one test the difference between the estimated coefficients (b
in equation 1 and b in equation 2) and get the t-statistic of
difference?Thanks.
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