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From |
Michael Stobernack <stobernack@fh-brandenburg.de> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Tiao-Goldberger test |

Date |
Mon, 16 Feb 2009 18:01:27 +0100 |

At 16.02.2009 16:47, you wrote:

--- 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,

I estimate the following model 4 times, i.e. once for each of the four groups:

y = b0 + b1*x1 + b2*x2 + b3*x3 +

So I have to estimate 16 coefficients.

Michael

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 http://home.fsw.vu.nl/m.buis/ ----------------------------------------- * * 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/

* * 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/

**Follow-Ups**:**Re: st: Tiao-Goldberger test***From:*Maarten buis <maartenbuis@yahoo.co.uk>

**References**:**st: Tiao-Goldberger test***From:*Michael Stobernack <stobernack@fh-brandenburg.de>

**Re: st: Tiao-Goldberger test***From:*Maarten buis <maartenbuis@yahoo.co.uk>

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