Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: Comparing fixed effect regression coefficients between two groups
From
"Dominik Hennen" <[email protected]>
To
[email protected]
Subject
st: Comparing fixed effect regression coefficients between two groups
Date
Mon, 17 Jan 2011 14:35:59 +0100
Dear all,
I have estimated a fixed effect panel regression model for two groups in my data set. In particular I compare high frequent stock trader with low frequent stock trader. In a second step I want to test if the coefficients, in particular the alpha return (the "constant" in the Carhart four factor model)are significantly different for both groups. The "suest" command does not work for xtreg. An alternative would be to include dummmies, however as I have more than 6000 investors this option doesn't work either.
Is there any command/approach to compare coefficients between two groups which were estimated via fixed effects?
I highly appreciate your help
With best regards
Dominik
--
Empfehlen Sie GMX DSL Ihren Freunden und Bekannten und wir
belohnen Sie mit bis zu 50,- Euro! https://freundschaftswerbung.gmx.de
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/