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st: Re: compare coefficients after sureg


From   "Michael Blasnik" <michael.blasnik@verizon.net>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: compare coefficients after sureg
Date   Fri, 14 May 2004 11:59:49 -0400

I don't think sureg is what you want -- sureg is used for models estimated
on the same sample.  What you want is more like a Chow test or, preferably,
just create interaction terms on the slope (and/or intercept).  This latter
approach can be done for you by xi.  For example, if you create zquart to
hold the quartiles of Z, then you could

xi: reg Y X i.zquart*X


and then look at the significance of the _I terms and perform tests on them


Michael Blasnik
michael.blasnik@verizon.net


----- Original Message ----- 
From: "Vuri, Daniela" <Daniela.Vuri@iue.it>
To: <statalist@hsphsun2.harvard.edu>
Sent: Thursday, May 13, 2004 4:43 AM
Subject: st: compare coefficients after sureg


> Dear Stata users,
> I have the following problem.
> I have a regression of Y on X and Z and I want to see if the effect of Z
is different across quartile of Z.
> I do the following:
>
> gen quart=1 if Z is in the first quartile
> replace quart=2 if Z is in the second quartile
> replace quart=3 if Z is in the third quartile
> replace quart=4 if Z is in the fourth quartile
>
> and then I do the following
>
> bysort quart: sureg(Y X)
>
> at this point I would like to test whether the beta coefficient I get in
the first equation (the first quartile) is equal to the beta coefficient I
get in the second equation (the second quartile) and so on.
>
> Is sureg the right command?  and how can I get the test of equality of the
coefficients across quartiles?
>
> thanks
> daniela
>


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