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st: some unexplained issues with coefficient comparisons


From   "Narasimhan Sowmyanarayanan" <narasimhan.sowmyanarayanan@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: some unexplained issues with coefficient comparisons
Date   Tue, 27 Jun 2006 01:00:55 -0400

Dear statalist:

I am facing one situation that I have not been able to intuit. I ran
two different fixed effect panel regressions for different groups and
compared the coefficients across the two groups. The test yeilded that
there was no significant difference when I used 'suest' to compare the
coefficients.

Then I tried to run the same models in OLS using explicit dummy
variables. My estimates are very close (some difference possibly came
because of some additional dummy variables that I tried to put in that
I could not use in my fixed effects model). The coefficients that I
compared were very close. But when I ran the same comparison using OLS
I found that the coefficients were significantly different.

To summarize the same coefficients when I used suest after areg gave
me insignificant difference as compared to the usage of suest after a
simple regression with dummy variables which indicated the difference
was significant.

I do not understand what is happening here. First, could this really
happen ? Or am I doing something wrong ?

Thanks

Sriram
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