Re: st: Statistical Significance of the difference between two estimates from two separate regressions

[David Hoaglin <dchoaglin@gmail.com>]

Dear Andri,

Do the two regressions have exactly the same sets of predictors?  If
not, the definition of the coefficient for education is not the same.

The suggestion from John Antonakis to use a single regression for
males and females, with an additional predictor for the difference in
the effect of education, has the benefit of using a pooled estimate of
the residual variance.  (If education is a categorical predictor, the
combined regression will have an additional predictor for each
non-reference category.)

The combined regression will also make it easier to investigate the
possibility of interactions between male/female and other variables.
You should consider whether the coefficients for the other variables
differ between the male regression and the female regression.

It is also possible, but perhaps less likely, that the residual
variances differ between the male regression and the female
regression.

David Hoaglin

On Fri, Mar 14, 2014 at 6:03 AM, Kyrizi, Andri <ak196@leicester.ac.uk> wrote:
> Dear Statalisters,
>
> I am running two (pooled ols) wage regressions: one for males and one for females.
>
> I would like to test whether there is a difference between the estimates of the two groups and if the difference is statistically significant.
>
> Most importantly I am interested to see if the coefficient I receive for education is statistically different between the two groups.
>
> Could anyone help me with this? Is there a test to do this?
>
> Thank you,
> Andri
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