I've got a follow-up on this one:
My model looks like this:
regress y x1 g2 g3 g4 g2x1 g3x1 g4x1 g2x2 g3x2 g4x2 x3 x4
I have more than one group and I have more than one variable that differ
and some control variables that should not vary across groups.
I know that with
testparm g2 g3 g4 g2x1 g3x1 g4x1 g2x2 g3x2 g4x2
I can test if the variables all together do vary across the groups.
But how can I test if, for example, the subgroup of x1 is differing
across groups. Is
testparm g2x1 g3x1 g4x1
Is this the correct way to do the test?
Secondly, can I use the differences between
g2x1 <-> g3x1 <-> g4x1
to describe the "strength" of the differences (amount of difference, in
the same meaning as effect strength compared to statistical
significance)?
Daniel
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Richard Williams
> Sent: Saturday, February 19, 2005 9:27 PM
> To: [email protected]
> Subject: Re: st: question on chow test
>
>
> At 11:27 PM 2/19/2005 -0800, jiang.107 wrote:
> >Hi all, any expert in chow test? I've got a question and would
> >appreciate
> >any insight--
> >
> >This is from the STATA FAQ:
> >to estimating the separate models
> > y = a1 + b1*x1 + c1*x2 + u for group == 1
> > y = a2 + b2*x1 + c2*x2 + u for group == 2
> >
> > . gen g2 = (group==2)
> > . gen g2x1 = g2*x1
> > . gen g2x2 = g2*x2
> > . regress y x1 x2 g2 g2x1 g2x2
> >
> >
> >My problem is that I've got lots of control variables on the
> right hand
> >side(x1,x2....x15). I'm only interested in x1 and I wanna
> test if the
> >coefficient of x1 is significantly different for the two groups.
> > From the STATA FAQ, it looks like I need to interact each
> variable with
> > the group dummy, which is awkward with too many control
> variables in my
> > case when I only wanna test for x1.
>
> Are you sure you want to let the effects of all the Xs differ across
> groups? If not, you could just do
>
> regress y x1 g2 g2x1 x2 x3 x4 etc.
>
> The T value for g2x1 will tell you whether the slopes differ across
> groups. Use
>
> test g2 g2x1
>
> if you want to see whether both the slopes and intercept differ.
>
> If you want to let the effects of all variables differ across
> groups, the
> -xi- command will save you a little typing.
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
