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From |
Simon Moore <simoncmoore@gmail.com> |

To |
Austin Nichols <austinnichols@gmail.com> |

Subject |
Re: st: Test the equality of regression coefficients |

Date |
Thu, 05 Jul 2007 11:29:12 +0100 |

Dear Austin, Very many thanks for your help. Regards Simon Austin Nichols wrote:

Simon-- It seems you are getting stuck on the first step of declaring your data to be panel data, and may have missed this FAQ: http://www.stata.com/support/faqs/data/repeatedtime.html You might need to do something like this: egen tid=group(id trial) bys tid: gen obs=_n tsset tid obs to declare your data as panel data. However, it is not clear you have panel data per se--you seem to be estimating a choice model, so you may need a member of the -xtlogit, fe- family, e.g. http://www.stata.com/help.cgi?clogit http://www.stata.com/help.cgi?asclogit (note that -xtlogit, fe- and -clogit- are the same thing). You don't need to -tsset- your data for these commands. Try out webuse union, clear tsset xtlogit union age grade not_smsa south southXt, fe i(id) clogit union age grade not_smsa south southXt, group(id) to see my point. You should probably skip -xi- and -xi3- and make your own indicator variables (AKA dummy variables) and interactions, which gives you more control over which indicator variables are excluded to avoid perfect collinearity. As for comparing across models, there are at least two ways to go, illustrated below for the OLS case: sysuse auto, clear reg pr mpg if for==1 est sto f1 reg pr mpg if for==0 est sto f0 suest f0 f1 test [f0_mean]mpg=[f1_mean]mpg g formpg=fore*mpg reg pr mpg fore form test form Note that these approaches differ slightly, as the -suest- approach does not constrain the variance of the residual to be the same across subsamples. Here's an example with -clogit- (AKA -xtlogit, fe-): webuse union, clear clogit union age not_smsa t0 south southXt, group(id) test southXt g sXage=south*age g sXnot=south*not_smsa clogit union age sXage not_smsa sXnot t0 south southXt, group(id) test southXt clogit union age not_smsa t0 if south==1, group(id) est sto s1 clogit union age not_smsa t0 if south==0, group(id) est sto s0 suest s0 s1 test [s0_union]t0=[s1_union]t0 On 7/4/07, Simon Moore <simoncmoore@gmail.com> wrote:I'm trying to test the test the equality of regression coefficients for two models. [I] run something like tsset id trial xi3: xtlogit choice i.condition*i.group*var1 var2, i(id) nolog re But of course, I get tsset id trial repeated time values within panel

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**References**:**st: constraining residual variance in xtmixed***From:*toby909@gmail.com

**Re: st: constraining residual variance in xtmixed***From:*Michael Hanson <mshanson@mac.com>

**st: Test the equality of regression coefficients***From:*Simon Moore <simoncmoore@gmail.com>

**Re: st: Test the equality of regression coefficients***From:*"Austin Nichols" <austinnichols@gmail.com>

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