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st: Testing the difference between coefficients with interaction variables
From
Michael Crain <[email protected]>
To
[email protected]
Subject
st: Testing the difference between coefficients with interaction variables
Date
Fri, 26 Aug 2011 23:12:37 -0700 (PDT)
I know testing the difference between coefficients of variables is
straightforward:
reg y x1 x2 x3
test x1 = x2 = x3
Is the test as straightforward for examining coefficients in models
with interactions variables?
reg y x1 x2 x3 x1*x2 x1*x3
where:
x2 and x3 are dummy variables that identify groups
the base group is when x2=0 and x3=0, group 2
is when x2=1 and x3=0, group 3 is when x2=0 and x3=1
I am interpreting the effect of the base group as x1's coefficient. The
effect of group 2 is the sum of coefficients of the x1 and x1*x2
variables. Lastly, the effect of group 3 is the sum of coefficients of
the x1 and x1*x3 variables.
Now, I want to examine whether the effects of the three groups are
different.
Is the test:
test x1 = x1*x2 = x1*x3
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