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st: Constrained estimation, simultaneous for two seperate groups?


From   Ernest Berkhout <ernestb@seo.fee.uva.nl>
To   statalist@hsphsun2.harvard.edu
Subject   st: Constrained estimation, simultaneous for two seperate groups?
Date   Fri, 06 Dec 2002 09:53:47 +0100

Hello Statalisters,

two days ago I posted my problem to the Statalist but up to now there was no response. Was it a stupid question, or was I unclear maybe? If the first is true than please tell me why because i'm apparently quite ignorant, otherwise i'll try to be more clear. What i want to do is

- a simple OLS regression of say Y on X1, X2...Xk for two different groups (men & women). But I want to
- impose the restrictions that for say X1 the coefficients for both groups are the same.

Of course one can estimate a single regression with interaction terms for all X2..Xn but that way the output will be immense in my case where there are >100 dummyvariables to be estimated (because there will be 3rd-order interactions then as well). I wondered if there would be a more efficient solution within Stata. I tried the <reg3> with <constraint>, but that doesn't work because there are no overlapping records between the first group (men) and the second group (women). The errorcode I get is 'not enough observations'.

So the real problem is that when I use a single equation with nearly full interaction I get a list with over a 100 interactionterms which is not readable anymore. Will the above solution, estimating simultanously, be a valid alternative or is maybe someone aware of an ado-program that will restructure the output in a more manageable form?

Thanks in advance,
Ernest Berkhout
Stichting voor Economisch Onderzoek
Universiteit van Amsterdam

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