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Re: st: Tiao-Goldberger test

From   Maarten buis <>
Subject   Re: st: Tiao-Goldberger test
Date   Mon, 16 Feb 2009 15:47:25 +0000 (GMT)

--- On Mon, 16/2/09, Michael Stobernack wrote:
> Another possibility could be to incorporate dummy variables
> and interaction terms for the different groups of interest.
> Since I have got four different groups I need three dummies
> and many interactions terms, so I loose (to) many degrees of
> freedom (n=50).

By estimating separate models for each group you actually 
estimate 4 extra coefficients, i.e. loose 4 degrees of 
freedom, compared to a model with all the interaction 
effects. The reason is that in the interaction model you
constrain the residual variance to be equal across groups.

-- 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 N515

+31 20 5986715


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