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Re: st: Testing equality of 2 coefficients after FE regression: How does Stata compute the Pooled SE and test statistic?
From
Maarten buis <[email protected]>
To
[email protected]
Subject
Re: st: Testing equality of 2 coefficients after FE regression: How does Stata compute the Pooled SE and test statistic?
Date
Wed, 8 Dec 2010 10:57:30 +0000 (GMT)
--- On Wed, 8/12/10, andreas nordset wrote:
> after estimating a FE model, I am testing the equality of
> two coefficients.
>
> The difference between them is about 3000 and the SE in the
> regression output are respectively 1700 and 1600. I would
> thus have thought that the test statistic should be
> t = 3000/sqrt(1700^2+1600^2) =1.29
You are missing the covariance of the joint sampling
distribution of these two parameters. The variance of the
difference is: var(x1) + var(x2) - 2*cov(x1,x2)
Hope this helps,
Maarten
--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany
http://www.maartenbuis.nl
--------------------------
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