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Re: st: Comparing nested regression models


From   Richard Williams <Richard.A.Williams.5@ND.edu>
To   statalist@hsphsun2.harvard.edu, statalist@hsphsun2.harvard.edu
Subject   Re: st: Comparing nested regression models
Date   Wed, 02 Jul 2008 10:44:34 -0500

At 09:04 AM 7/2/2008, Tam Lin wrote:
Thank you for this Maarten.
I have already seen that help page.
From what I understand, the Wald test that it recommends is
designed to test the contribution of a single variable in a
single model.
What I want to do is compare one regression model with another.
Will the Wald test do this?
Thank you
Suppose model 1 has x1, x2 and x3. Then model 2 adds x4 and x5. After running model 2, just say

test x4 x5

Or, suppose model 1 has x1, x2 and x3. In the constrained model, the betas for x1 and x2 are equal. Run model 1 and then give the command

test x1 = x2

In short, so long as the models are nested, you estimate the unconstrained model, and then use the test command to see whether the unconstrained model is an improvement over the constrained model.

If in doubt as to whether you are imposing the constraints correctly, you can add the -coef- option to test, e.g.

test x1 = x2, coef


Weesie's -linest- command is also sometimes helpful. Use -findit- to get the version stored at http://www.fss.uu.nl/soc/iscore/stata.

Here is some code that will illustrate my points. The last lijne requires that linest be installed.

webuse nhanes2f
svy: ologit health female black rural weight
test female=rural, coef
constraint 1 female = rural
linest, c(1)


-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
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EMAIL: Richard.A.Williams.5@ND.Edu
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