Re: st: what does increase in coefficient value over two time period indicate

[Maarten Buis <maartenlbuis@gmail.com>]

On Mon, Nov 5, 2012 at 11:54 AM, Prakash Singh wrote:
> Suppose I run regression for two different time period for same set of
> variables and get 0.13 and .34 (both statistically significant) as
> estimated coefficient of a variable. Now I want to know that: does
> this high coefficient value in the second period indicate improvement
> in the effect of the variable on the dependent variable.

Possible, but not certain.

1) We don't know what the unit of either the dependent and independent
variable is, so we have no way of judging whether this is a
substantively meaningful or a substantively meaningless change.

2) You did not say which regression model you used. If it is a
non-linear model the comparison between periods becomes much harder,
some would say impossible.

3) We cannot say with the information you have given use whether we
can reject the hypothesis that these coefficients are equal. My
default way to perform such a test is to estimate one model and add
interaction terms, others prefer -suest-.

-- Maarten

---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany

http://www.maartenbuis.nl
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