Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
From | Richard Herron <richard.c.herron@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: How to use -suest- with -xtfmb- (test Fama-MacBeth regression coefficients) |
Date | Sun, 6 Nov 2011 23:23:55 -0500 |
I am using -xtfmb- from SSC to do Fama-MacBeth regressions (JPE 1973). I estimate the model in two subsets and would like to use -suest- to test if the models' coefficients are significantly different. But -suest- gives the error that the model "was estimated with a nonstandard vce (Fama-MacBeth)" * begin code: webuse grunfeld, clear xtfmb invest mvalue kstock if time < 10 estimates store low xtfmb invest mvalue kstock if time >= 10 estimates store high suest low high * end code The help file for -xtfmb- says that coefficients can be tested if the -lags()- option isn't used, but here -suest- fails. Is there a way that I can use -suest- or an equivalent command? Thanks! * * 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/