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st: RE: RE: xtreg and suest


From   "Daniel Hoechle" <daniel.hoechle@unibas.ch>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: xtreg and suest
Date   Sat, 8 Apr 2006 10:11:37 +0200

Scott

Thanks a lot for your suggestion. Your method seems to work well for the
coefficients of the variables but not for the intercepts which is what I
am really interested in. Because I am quite sure that the variance of
the two groups is not equal and since the Hausman test is indefinite I
would like to estimate two different models and compare the intercepts
of the two models. Is there a way to do that? Furthermore, is it
possible to generalize your approach for more than two groups of
individuals?

Thanks again.

Kind regards,
Daniel



*** Summary of the prior emails:

> I would like to estimate a fixed effects panel regression for two
groups
> of individuals (men and women, say). Then I would like to compare the
> coefficients of the two models. However, the -suest- command seems not
> to work in this instance

Yes, you could interact the variables with a dummy variable and test if
the
interacted variable of interest is 0.

For example:

webuse grunfeld, clear
mark gr if com <7
foreach v of varlist kstock mval {
	gen gr_`v' = gr*`v'
	}
xtreg invest kstock mval gr_*, fe robust
test gr_kstock


Scott


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