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st: RE: Re: RE: Chow test in panel data


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Re: RE: Chow test in panel data
Date   Fri, 2 Jul 2004 12:00:43 -0500

Andrea,

Does the panel data structure matter when testing if the coefficients from
group A = coefficients from Group B?

I believe the following tests whether the pre-war years, war years, and
post-war years coefficients are the same:

webuse grunfeld, clear
mark prewar_years if year < 1939
mark war_years if year > 1938 & year <1946


foreach var of varlist mvalue kstock{
  gen pre_`var' = prewar_years*`var'
  }

foreach var of varlist mvalue kstock{
  gen war_`var' = war_years*`var'
  }

xtreg invest mvalue kstock pre* war* , fe
testparm pre* war*


Scott

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Andrea Molinari
Sent: Friday, July 02, 2004 11:17 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: Re: RE: Chow test in panel data

Scott,
Thanks very much for your suggestion. I'm dividing the sample into three
subperiods because it would make (economic) sense to have different
coefficients among the periods.
What I did so far is a Chow which could have been done for time-series too,
and what I was mostly concerned was whether there is any test (Chow or
other) for this in a panel data context...
Andrea


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