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Re: st: RE: Chow Test and SSE when using ``pweight``


From   "John GIBSON" <jkgibson@mngt.waikato.ac.nz>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: RE: Chow Test and SSE when using ``pweight``
Date   Wed, 13 Nov 2002 19:49:26 +1300

Xiaoqu,

If you are using -pweight- I guess you have got sample survey data, so there is a high chance of it being heteroscedastic. In this case you should be using Wald rather than LR-type tests, so trying to run it off the SSE of two separate models (even if available) wouldn't be a good idea.

I am puzzled why it is proving hard to use xi: with the pooling dummy interacted with each variable. I have done this with models with more than 50 variables and Stata has coped just fine.

John


<<< "Jennifer Ng" <ycng@telus.net> 11/13  6:48p >>>
Hi,
For the chow test, may be you can run the regression for those two groups
separately and then use their SSR to calculate the F-value.
Jennifer

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Xiaoqu Luo
Sent: Tuesday, November 12, 2002 9:29 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: Chow Test and SSE when using "pweight"


Is there any easy way in STATA to do a Chow Test (when run the same
regression model for two groups, test the difference between the
coefficients for the same independent variable)? I know that I can use
interaction terms with the pooled model but there are many independent
variables and this is not very easy to do. In addition, when I use "pweight"
option with "regress" commond, I cannot get the small table for the summary
of the errors (such as SSE, MSE, etc.). How can I get this table, or I
cannot get them by using "pweight"? A bit confused.

Thanks a lot for your help!

Xiaoqu Luo
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