Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Chow test in nonlinear model


From   Giulio Zanella <zanegi@tiscali.it>
To   statalist@hsphsun2.harvard.edu
Subject   st: Chow test in nonlinear model
Date   Fri, 28 Mar 2008 19:00:42 +0100

I would like to run a Chow test for equality of coefficients across two 
Probit models.

A procedure that works in linear models, as previously discussed here, is 
the following:

The model is:

y = a1 + b1*x1 + c1*x2 + u         for group 1

y = a2 + b2*x1 + c2*x2 + u         for group 2

But we can collapse the two equations:

y = a3 + b3*x1 + c3*x2 + a3'*g2 + b3'*g2*x1 + c3'*g2*x2 + u,

where g2=1 if group is 2 and g2=0 otherwise, estimate this and then test 
that  g2 g2*x1 and g2*x2 are all equal to zero.

Intuitively, this procedure should work in a nonlinear model too, but I 
wonder whether this hides some pitfall.

Any hint would be appreciated.

Many thanks

Giulio Zanella 


*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index