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Re: st: testparm


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: testparm
Date   Tue, 4 Mar 2008 12:18:27 +0000 (GMT)

--- Chiara Mussida <cmussida@gmail.com> wrote:
> ok, isn't there a proper test for that decision? sorry for bothering
> again, but I want to be also econometrically confortable with my
> decision of estimating separately

If this is a model selection decision, than you probably should not
test, because all the test that you finally care about (the hyptotheses
of substantive interest) are than conditional on this model selection
test, so your type I error rates are no longer 5% (if you chose 5%).

-- 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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