st: Comparison of Coefficients on two separate models with different dependent variables but with same independent variables

[Satyen Dubey <vikramfinavker@gmail.com>]

Dear All,

I have two dependent variables that are both measured on the same scale.
They measures firms probability of default. One measure is for 1-year
Probability of default (1PDF) and the other is for 5-year Probability of
default (5PDF). One of my main independent variable is firms use of
derivatives and negative coefficient on it will show that firms use of
derivatives lowers its probability of default.

I run my regression as follow.

reg 1PDF derivatives x y z..............(1 Model)
reg 5PDF derivatives x y z..............(2 Model)

both of these equations are same except for the dependent variable.

The reason i want to compare the coefficients is that for 1PDF my
coefficient on derivatives is larger in absolute term than the one i find on
5PDF. These indicates that derivatives use is more effective in short term
than in long term. This is however is my observation based on the
coefficients.

Is there any way i can do a test on the regression coefficients and compare
the coefficients on derivatives.. 


Thanks
Satyen Dubey




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Thanks & Regards,

Satyen Dubey
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