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Re: st: Test of equality of the coefficients between two samplesendogeneity and IVREG2


From   nasser.daneshvary@unlv.edu
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Test of equality of the coefficients between two samplesendogeneity and IVREG2
Date   Thu, 24 Nov 2005 08:23:19 -0800

Kit,
Thank you. This works.

Nasser
Inactive hide details for Kit Baum <baum@bc.edu>Kit Baum <baum@bc.edu>




          Kit Baum <baum@bc.edu>
          Sent by: owner-statalist@hsphsun2.harvard.edu

          11/23/2005 04:10 AM
          Please respond to statalist



To: statalist@hsphsun2.harvard.edu
cc:
Subject: st: Test of equality of the coefficients between two samples endogeneity and IVREG2


The Chow test, in OLS or IV, can always be expressed in terms of
creating a dummy--in your case for the sample, 0=sample A, 1=sample
B, and interacting it with the regressors. The regression then is
augmented with the dummy (which is a constant term shift for sample
B) and the interacted regressors. The joint test that the dummy
coefficient and all interactions are zero is the 'Chow test'. Each
interaction term's coefficient is a test for equality of that
coefficient across samples. You normally have to worry about
heteroskedasticity caused by pooling in this context, but since
you're using GMM, it will take care of it and 'robustify' the F- and
t-statistics.

In the context of instrumental variables, you will of course have to
consider (migrated*dummy) to be an additional endogenous regressor
and find an instrument for it.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html


On Nov 23, 2005, at 2:33 AM, Nasser wrote:

> I am using IVREG2 with gmm option to estimate the coefficient of a
> dichotomous endogenous variable (migrated=3D1 or 0). I apply the
> model=
> to
> two samples. I would like to test for the equality of the two
> coeffici=
> ents
> between the two samples. Is there a particular test in IVREG2
> (with gm=
> m
> option) that is equivalent to OLS Chew test?

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