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Re: st: Comparing coefficients across by groups


From   "Michael S. Hanson" <mshanson@mac.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Comparing coefficients across by groups
Date   Sat, 5 Feb 2005 13:02:39 -0500

On Feb 5, 2005, at 12:40 PM, Apostolos Ballas wrote:

Is there a simple way to test equality of coefficients from regressions
estimated over a number of sub-samples using the by command?

To be more specific, lets say I estimate

By group:regress y x1 x2

How can I test (automatically) whether

b11=b12=b13=...

Where bij refers to the coefficients of the ith independent estimated in the
jth sub-sample.
Would it be econometrically equivalent to create dummy variables for (n-1) of your sub-samples (equivalently, I think, your groups), interact them with x1 & x2, and test the joint significance of the set of interactions with each x? This approach could be made more compact with the -xi- command. (You'll likely want dummies on the intercept for the same (n-1) sub-samples as well.) HTH.

-- Mike

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