Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: Comparing coefficients across sub-samples
From
David Hoaglin <[email protected]>
To
[email protected]
Subject
Re: st: Comparing coefficients across sub-samples
Date
Thu, 2 Aug 2012 22:34:48 -0400
James,
The concept underlying "Lisa's formula" is quite basic; you should be
able to find it in almost any introductory book on mathematical
statistics or probability ("variance of a sum or difference [or, more
generally, a linear combination] of independent random variables").
It is not a "big" enough concept to be called a theorem, let alone be
named after someone. I should be able to dig up a reference if
needed.
The only part of the formula that might need justification is the use
of the estimates for var(B1) and var(B2) and then referring z to a
standard normal distribution. That step relies on having "large"
samples, but it should be OK, and it is very commonly done.
David Hoaglin
On Thu, Aug 2, 2012 at 9:51 PM, Fitzgerald, James <[email protected]> wrote:
> David,
>
> One final thing; if I use this formula how would I reference or justify my use of it? Is it a basic formula I'd find in an econometrics text, or does it have a specific author, or is it founded on a particular theorem?
>
> Any help you can give is much appreciated
>
> James
*
* 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/