RE: st: Comparing coefficients across sub-samples

["Jacobs, David" <jacobs.184@sociology.osu.edu>]

If you want to compare coefficient size, try using elasticities either by logging the explanatory and dependent variable or by using the Stata command for this.

If you want to test for differences in coefficient size and the dependent variables are correlated, use the two equation estimator called 
-sureg-.  If -sureg- won't work, consider the Stata test called -suest-.

Dave Jacobs

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Fitzgerald, James
Sent: Wednesday, August 01, 2012 6:06 AM
To: <statalist@hsphsun2.harvard.edu>
Subject: Re: st: Comparing coefficients across sub-samples

Hi Adam

Thanks for the suggestion, but unfortunately xtreg does not allow the beta option. 

Regards

James

On 1 Aug 2012, at 09:48, "Adam Cheung" <adam_kalok@yahoo.com.hk> wrote:

> Dear James,
> 
> You can put the option "beta" after the "regress" command to obtain the standardized beta coefficients:
> 
> regress y x , beta
> 
> Best,
> Adam
> 
> --- 2012年8月1日 星期三，Fitzgerald, James <J.Fitzgerald2@ucc.ie> ?道?
> 
>> 寄件人: Fitzgerald, James <J.Fitzgerald2@ucc.ie>
>> 主?: RE: st: Comparing coefficients across sub-samples
>> 收件人: "Lisa Marie Yarnell" <lisayarnell@yahoo.com>, 
>> "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
>> 日期: 2012年8月1日,星期三,下午3:04
>> Hi Lisa
>> 
>> Thank you very much for your response!
>> 
>> I am looking for both the methodology and the command, if it exists.
>> 
>> Does Stata have a command for generating "standardised"
>> betas, or do I just transform my variables by hand and re-run my 
>> regressions?
>> 
>> Thanks again
>> 
>> James
>> 
>> ________________________________________
>> From: Lisa Marie Yarnell [lisayarnell@yahoo.com]
>> Sent: 01 August 2012 04:29
>> To: statalist@hsphsun2.harvard.edu;
>> Fitzgerald, James
>> Subject: Re: st: Comparing coefficients across sub-samples
>> 
>> Hi James,
>> 
>> Typically the effect of a predictor in two different groups can be 
>> compared with the unstandardized beta. You can do a statistical test 
>> of the difference in the betas using the z-score formula below.  I 
>> usually just calculate the difference between unstandardized betas 
>> from two different models by hand, though Stata might have a command 
>> to do this for you.  Is that what you are looking for: the Stata 
>> command?
>> 
>>             (b1 ? b2)
>>                
>>      b1 and b2 are the unstandardized regression weights that you 
>> want
>> z = --------------------         
>>                
>>           to test the difference
>> between
>>       √(seb12 + seb22)     
>>              seb1
>> and seb2are the standard errors of these unstandardized
>>       ↑         
>>                
>>                
>>           regression weights, found
>> next to the weights themselves
>> This is a square root sign!       
>>               in your
>> SPSS output.  Remember to square them.
>> Take the square root of the
>> entire value in parentheses.
>> 
>> In terms of comparing the *magnitude* of the effect in the two 
>> different subsamples, it is more correct to do this qualitatively by 
>> comparing the *standardized* beta for the variable of interest 
>> against effect size rules of thumb for small/medium/large (which 
>> sometimes differ by discipline, such as social 
>> sciences/education/engineering).  Just report the standardized beta 
>> as the effect size in each group; it would be a qualitative statement 
>> about the effect in each group.
>> 
>> Here are rules that I have:
>> Standardized regression coefficients:
>> * Keith’s (2006) rules for effects on school learning: .05 = too 
>> small to be considered meaningful, .above .05 = small but meaningful 
>> effect, .10 = moderate effect, .25 = large effect.
>> * Cohen’s (1988) rules of thumb: .10 = small, .30 = medium, >  (or 
>> equal to) .50 = large
>> 
>> Lisa
>> 
>> 
>> 
>> 
>> ----- Original Message -----
>> From: "Fitzgerald, James" <J.Fitzgerald2@ucc.ie>
>> To: "statalist@hsphsun2.harvard.edu"
>> <statalist@hsphsun2.harvard.edu>
>> Cc:
>> Sent: Tuesday, July 31, 2012 4:14 PM
>> Subject: st: Comparing coefficients across sub-samples
>> 
>> Hi Statalisters
>> 
>> I am running the same model on two sub-samples as follows:
>> 
>> xtreg ltdbv lnta tang itang prof mtb if nolowlntalowtang==1, fe 
>> cluster(firm)
>> 
>> xtreg ltdbv lnta tang itang prof mtb if nolowlntalowtang==0, fe 
>> cluster(firm)
>> 
>> I want to compare the explanatory power of lnta across the two 
>> sub-samples i.e. in which sub-sample does lnta explain significantly 
>> more of the variation in ltdbv?
>> 
>> Can anyone give me some advice on how to achieve this?
>> 
>> Thanks in advance
>> 
>> James
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