Re: st: Re:

[Steve Samuels <sjsamuels@gmail.com>]

Yuval, 

I don't have access to your article, but I have an observation: The predictions (real and counterfactual) that are averaged are not independent, because they are all functions of the estimated regression coefficients. I don't think a t-test accommodate the non-independence. In Stata, I would use -margins- or -lincom- after -margins-.

Steve



On Nov 26, 2011, at 9:09 AM, Yuval Arbel wrote:

David,

You can simply use Difference in Difference (DD) analysis:

Run a regression on the group of managers who take the first (second)
approach. Then predict what would have happened to the performance of
each manager in the case that he/she takes the other approach and use
the -ttest- to see whether the difference is significant.

Note to define dummy variables in any case that variables are ordinal,
i.e., the numerical values have no quantitative meaning

I use this approach quite often. You can look at the second part of my
following paper published in RSUE:

Arbel, Yuval; Ben Shahar,Danny; Gabriel, Stuart  and Yossef Tobol:
"The Local Cost of Terror: Effects of the Second Palestinian Intifada
on Jerusalem House Prices".Regional Science and Urban Economics (2010)
40:  415-426

On Sat, Nov 26, 2011 at 12:11 PM, David Ashcraft
<ashcraftd@rocketmail.com> wrote:
> Hi Statalist,
> 
> This is more like an econometric than a Stata question. I am little lost on the following scenario:
> 
> The situation is: I want to measure the performance of managers, who has a specific approach against those who do not. I have several individual managers in each category. One way is to regress the performance of these managers against their benchmark for the whole data using
> -regress manager benchmark, by(belief)
> The second option is to run individual regression on each manager and get the coefficients of individual regressions and run a ttest alpha, by(belief) .
> 
> 
> Now the question is, how different is the result from the ttest of alpha from that of the alpha of the regression equation.
> Any help will be really appreciated.
> 
> If anyone can suggest an academic paper on similar scenarios, that would be a great help.
> 
> 
> David
> 
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-- 
Dr. Yuval Arbel
School of Business
Carmel Academic Center
4 Shaar Palmer Street, Haifa, Israel
e-mail: yuval.arbel@gmail.com

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