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From |
"Johannes Metzler" <johannes.metzler@campus.lmu.de> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: Testing equality of coefficients between two linear random effects models |

Date |
Thu, 24 Jul 2008 20:48:42 +0200 |

Dear Stata list users, I have the following situation: I estimate two models with Random Effects (xtreg, re) over the same sample: y1_it = c1 + ß1*x1_it + e1_it y2_it = c2 + ß2*x1_it + e2_it i.e., the one explanatory variable x1 is the same in both models for all units, whereas the dependent variable is different. Imagine x1 to be a shock in time t in municipality i, and y1 for example the share of municipal inhabitants with characteristic 1, y2 the share of municipal inhabitants with characteristic 2. Task: I would like to test if ß1=ß2. It it possible, and if so, how? I imagine that the solution would entail estimating both equations in the same model in order to obtain a common covariance matrix (something along the lines of - duplicating all observations - gen y3=y1 if original, y3=y2 if duplicate - estimating y3_it = dummy_orig + dummy_duplic + ß1*x1*dummy_orig + ß2*x2*dummy_dupl + e_it ?) but I do not know how to implement this in a random effects context and where the caveats are. I would greatly appreciate any help. Thank you, Johannes * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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