Re: st: Testing the difference between coefficients with interaction variables

[Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>]

Here is an example:

/****************************/
sysuse auto, clear
regress price c.mpg##i.rep78
testparm c.mpg#i.rep78
/****************************/

This tests whether or not the coefficient on "mpg" is significantly
different across categories of "rep78". In this case, you are unable
to reject the hypothesis that they are indistinguishable from the
coefficient of "mpg" for the base group.

T

On Fri, Aug 26, 2011 at 11:12 PM, Michael Crain <michaelcrain@ymail.com> wrote:
> 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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>



-- 
Tirthankar Chakravarty
tchakravarty@ucsd.edu
tirthankar.chakravarty@gmail.com

*
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