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st: How to do a Wald-Test of equivalence across IV-regressions


From   "Johannes Metzler" <metzler@asp.ifw-kiel.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: How to do a Wald-Test of equivalence across IV-regressions
Date   Fri, 22 Apr 2005 13:15:59 +0200

Dear all,

I have trouble achieving the following thing in STATA:
I have 4 linear regressions of the same type, and they differ in one
variable. Now I would like to test if the coefficients of this one variable
in the different estimations differ significantly (F-, or Wald-Test).
I figured out how to do it in OLS:
I typed "estimates store est_#" after every equation, afterwards I estimated
"suest est_*" (seemingly unrelated estimations), and afterwards I could test
"test var1=var2=var3=var4"
But now I would like to do the same thing after estimating IV (ivreg2). it
shouldn't be so hard but I cannot figure out how to store the estimation
results properly so that STATA can compare the coefficients over the 4
equations

Can somebody help! Thank you in advance!!!
Johannes




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