|From||Christopher F Baum <email@example.com>|
|Subject||st: Re: coeffs across equations|
|Date||Fri, 27 Jun 2003 06:25:07 -0400|
Date: Thu, 26 Jun 2003 21:00:53 -0500This is a FAQ on Statalist. One cannot in general test coefficients from separate estimations. Pooling the data and estimating a single, fully interacted model, as suggested, is probably the most sensible approach, although it does then assume homoskedasticity across the 5 categories, which 5 separate regressions will not. Thus, one may want to test for groupwise heteroskedasticity if the est. sigma^2 from the category regressions are very different.
From: "Scott Merryman" <firstname.lastname@example.org>
Subject: Re: st: test coefficients across equations [was: Re: sample selection bias]
- ----- Original Message -----
From: "Bersant Hobdari" <email@example.com>
Sent: Thursday, June 26, 2003 11:51 AM
Subject: Re: st: Re: sample selection bias
I had a question on testing coefficient across separately estimated
samples. The problem is the following: I estimate firm-level production
function where I divide the sample in 5 sub-samples defined by majority
owner: I.e., if majority owner is the State I classify the firm in that
group, if it is a financial institution I classify it in that group and
so on. After estimating regressions I would like to test the equality of
coefficients across equations.
Any suggestion how this could be implemented is highly appreciated.
You could create a dummy variable on majority owner then interact it with
your other variables and test the coefficients on the fully interacted model
(see the Stata FAQ on Chow tests). Example using the auto dataset.
Equation 1: mpg = b0 + b1*price (if domestic)
Equation 2: mpg = b0' + b1'*price (if foreign)
Create the interaction term (if you have more categories -xi- comes in
gen priceXforeign = price *foreign
Regress the full interacted model
regress mpg = price foreign priceXforeign
A test on foreign will compare common intercepts, a test on priceXforeign
will test common slopes, and a test on both foreign and priceXforeign will
test if they are jointly equal to zero, or if equation 2 differs from
However, if you are concerned about correlation across equation (or wish to
test for it), -reshape- your data into a wide data structure and