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st: RE: Comparing fixed effect regression coefficients between two groups
From
"Schaffer, Mark E" <[email protected]>
To
<[email protected]>
Subject
st: RE: Comparing fixed effect regression coefficients between two groups
Date
Mon, 17 Jan 2011 14:07:44 -0000
Dominik,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Dominik Hennen
> Sent: 17 January 2011 13:36
> To: [email protected]
> Subject: st: Comparing fixed effect regression coefficients
> between two groups
>
> 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?
If you apply the within transformation (i.e., demean your data) by hand,
you can obtain the FE coefficients using -regress-. Ben Jann's -center-
command (available from ssc archives in the usual way) is an easy way to
implement the within transformation.
The vcv, error variance and SEs after using -regress- on demeaned data
will be wrong (too small) since the degree of freedom won't incorporate
the loss of dfs because of the FEs. But if you use the undocumented
-dof- option of -regress-, you can impose the right degrees of freedom
on the estimation on the demeaned data.
Here's an example:
*************************************
webuse abdata, clear
* Note the degrees of freedom = 890
xtreg n w, fe
* Apply centering to the same sample
by id: center n w if e(sample)
* Force dof to be 890
reg c_n c_w, dof(890) nocons
*************************************
Do this for both your FE estimations and then use -suest-, as you
propose.
HTH,
Mark
> I highly appreciate your help
> With best regards
> Dominik
>
>
>
>
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