Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: Re: coeffs across equations


From   Bersant Hobdari <bh.cees@cbs.dk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: coeffs across equations
Date   Fri, 27 Jun 2003 12:18:26 +0100

Dear Christopher,
Thanks for the reply. I too was suspicious of using SURE. 
As I have different number of obs in every sample it 
makes it stronger the argument of not using it. I guess I 
have to pool the sample to test for coefficient differences. 
It will however introduce endogeneity in the estimation, 
exactly the reason why I had to split the sample. 

Sincerely,
Bersant

----- Original Message -----
From: Christopher F Baum <baum@bc.edu>
Date: Friday, June 27, 2003 12:25 pm
Subject: st: Re: coeffs across equations

> On Friday, June 27, 2003, at 02:33 AM, Scott wrote in 
response to 
> Bersant:
> 
> > Date: Thu, 26 Jun 2003 21:00:53 -0500
> > From: "Scott Merryman" <smerryman@kc.rr.com>
> > Subject: Re: st: test coefficients across equations 
[was: Re: 
> sample 
> > selection bias]
> >
> > - ----- Original Message -----
> > From: "Bersant Hobdari" <bh.cees@cbs.dk>
> > To: <statalist@hsphsun2.harvard.edu>
> > Sent: Thursday, June 26, 2003 11:51 AM
> > Subject: Re: st: Re: sample selection bias
> >
> >
> >> Hi Everyone,
> >>
> >> 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.
> >>
> >> Sincerely,
> >> Bersant Hobdari
> >
> >
> > 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
> > handy)
> >     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> equation 1.
> >
> > However, if you are concerned about correlation 
across equation 
> (or 
> > wish to
> > test for it), -reshape- your data into a wide data 
structure and
> > use -sureg-.
> >
> >
> This 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.
> 
> The suggestion for sureg relaxes that assumption, and 
handles the 
> separate coefficients (including making it easy to test / 
constrain 
> across equations). However most implementations of 
SURE will demand 
> that there are the same number of observations in each 
equation (a 
> constraint not required by SURE, in that one can 
calculate 
> consistent 
> estimates of the residual covariance matrix from the dot 
products 
> of 
> the residuals, whatever their length). I suspect Bersant 
may not 
> have 
> equal numbers of firms per category.
> 
> Kit
> 
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 
> 
**********************************************************************
******
> Denne e-mail er scannet af mailFence fra Sure Solutions 
> (www.suresolutions.dk),og der er ikke fundet vira.
> 
**********************************************************************
******
> 
begin:vcard
n:Hobdari;Bersant
fn:Bersant Hobdari
version:2.1
email;internet:bh.cees@cbs.dk
end:vcard




© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index