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st: Re: stesting across regressions
--On Wednesday, August 21, 2002 2:33 -0400 Hans wrote:
This question resurfaces on the list every so often. It is not a technical
issue (does Stata do...) but an econometric issue: generally speaking, such
a test cannot be done. If you can place both equations into a single
estimation problem--for instance, by specifying a SUR (sureg) in which both
equations appear--then it is well defined. But if you run two separate
regressions, there is no way to estimate the covariance of the two
I wonder if there is a command to test if the coefficient on x1 in
regression (1) is equal to the coefficient on the same x1 but in another
regression (2), which is differently specified. I am applying a simple
OLS using robust standard errors.
Many thanks for your hinds.
Alternatively, one could (in some cases) pool the data, and run a single
regression in which both coefficients appear, with dummies dealing with the
alternative specifications. This would also raise an issue of
heteroskedasticity between the two forms of the model, but that could be
dealt with. But one way or another, both coefficients have to be estimated
in the same coefficient vector for such a test to be well defined.
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