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Re: st: comparison of OLS and Fixed-effects regression coefficients


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: comparison of OLS and Fixed-effects regression coefficients
Date   Fri, 1 Feb 2008 12:49:59 +0000 (GMT)

--- Wencke Gwozdz <gwozdz-w@uni-hohenheim.de> wrote:
> I wonder if there is any possibility comparing regression
> coefficients of coss-sectional and panel analysis. The aim is to show
> that both coefficients for a dependent variable are different.
> 
> So far, I estimated an OLS regression and a fixed-effect regression 
> including the same variables, resulting in lower coefficients within
> the fixed-effect model as we did expect. (the data set and the sample
> is absolutely the same.)
> 
> I know that it is possible to test if coefficients are equal by 
> combination of the "suest" and "test" command. But this does not work
> with cross-sectional and panel regressions together.
> 
> Does anyone know if there exists such a test? Is it realizable within
> Stata?

One take on this is is to look at the entire model. Than the answer is
yes, and it is actually in the standard output of -xtreg- with with the
-fe- option: At the bottom of the output you see a line that starts
with "F test that all u_i=0". When all the fixed effects are zero the
fixed effects model collapses to a normal regression, so this test
compares the fixed effects model with the OLS model. 

Hope this helps,
Maarten

-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------


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