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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

Kit Baum <baum@bc.edu>

Kit Baum <baum@bc.edu>Sent by: owner-statalist@hsphsun2.harvard.edu 11/23/2005 04:10 AM | 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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