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From |
Kit Baum <baum@bc.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: re: comparing coefficients across by-groups |

Date |
Sat, 5 Feb 2005 14:27:36 -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.

and Michael replied

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.

It would not be econometrically equivalent since the single regression, fully interacted including the constant, is being estimated with a constraint of a single sigma^2 across the groups. Unless that is a tenable assumption, it will lead to biased standard errors. Since the resulting heteroskedasticity is of known form, handling it with -robust- is not the best idea.

I believe this is a proper application of _suest_ (not be be confused with _sureg_). whelp suest. Rather than using _by_, you need to use _forvalues_ or _foreach_ to iterate over the groups and run the regressions and store estimates for each: e.g.

webuse grunfeld,clear

drop if company>4

estimates clear

qui forv i=1/4 {

regress invest mvalue kstock if company==`i'

estimates store co`i'

}

suest *

test [co1_mean]mvalue=[co2_mean]mvalue

test [co1_mean]mvalue=[co3_mean]mvalue,accum

test [co1_mean]mvalue=[co4_mean]mvalue,accum

ALBOSPGALW !!!

Kit Baum, Boston College Economics

http://ideas.repec.org/e/pba1.html

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**Follow-Ups**:**st: RE: re: comparing coefficients across by-groups***From:*"Apostolos Ballas" <aballas@aueb.gr>

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