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st: Re:testing coefficients across subsamples


From   Christopher F Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re:testing coefficients across subsamples
Date   Sat, 28 Jun 2003 09:24:47 -0400

On Saturday, June 28, 2003, at 02:33 AM, statalist-digest wrote:

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
It is not clear why pooling the data, and using a fully interacted specification (the dummy variable approach), using an instrumental variables (or GMM) technique would not give you what you want. That would handle the non-independence, and would also allow you to test for coefficient stability across subsamples.

Thanks
Kit

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