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st: RE: st: Comparing coefficients between two samples


From   "Newson, Roger B" <r.newson@imperial.ac.uk>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: st: Comparing coefficients between two samples
Date   Mon, 30 Mar 2009 20:14:51 +0100

Another possibility might be to use the -metaparm- module of the -parmest- package, downloadable from SSC. The -metaparm- module can test for differences between corresponding coefficients from the same model fitted to independent samples. A presentation on the -parmest- package, discussing -metaparm-, is downloadable from the UK 2008 Stata User Group meeting page on SSC at
http://ideas.repec.org/p/boc/usug08/07.html

If there are more than two samples, and the user wants to do a chi-squared or F-test of equality, then the -estparm- package can also be downloaded from SSC.

I hope this helps.

Best wishes

Roger


Roger B Newson BSc MSc DPhil
Lecturer in Medical Statistics
Respiratory Epidemiology and Public Health Group
National Heart and Lung Institute
Imperial College London
Royal Brompton Campus
Room 33, Emmanuel Kaye Building
1B Manresa Road
London SW3 6LR
UNITED KINGDOM
Tel: +44 (0)20 7352 8121 ext 3381
Fax: +44 (0)20 7351 8322
Email: r.newson@imperial.ac.uk 
Web page: http://www.imperial.ac.uk/nhli/r.newson/
Departmental Web page:
http://www1.imperial.ac.uk/medicine/about/divisions/nhli/respiration/popgenetics/reph/

Opinions expressed are those of the author, not of the institution.

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Erasmo Giambona
Sent: 30 March 2009 19:27
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: Comparing coefficients between two samples

Dear John,

Thanks very much for your suggestion. I wonder whether this would
still be fine when the variable of interest is the endogenous
variable.

Regards,

Erasmo

On Mon, Mar 30, 2009 at 6:32 PM, JOHN ANTONAKIS <john.antonakis@unil.ch> wrote:
> Hi Erasmo:
>
> One solution may be to create an indicator variable (for the groups) that
> you interact with your variables of interest?  A significant interaction
> indicates that the coefficients are not the same across the two groups.
>
> HTH,
> John.
>
> ____________________________________________________
>
> Prof. John Antonakis
> Associate Dean Faculty of Business and Economics
> University of Lausanne
> Internef #618
> CH-1015 Lausanne-Dorigny
> Switzerland
>
> Tel ++41 (0)21 692-3438
> Fax ++41 (0)21 692-3305
>
> ____________________________________________________
>
>
>
> On 30.03.2009 17:06, Erasmo Giambona wrote:
>>
>> Dear Statalist,
>>
>> I am fitting the same exact model to two different samples using
>> xtivreg2. I would like to test whether the coefficients on the
>> endogenous variables are statistically different from each other
>> across the two groups.
>>
>> I understand that this test can be performed with suest after regress,
>> but suest does not work after xtivreg2.
>>
>> I would appreciate any suggestions on how I could perform this test in
>> this case.
>>
>> Regards,
>>
>> Erasmo
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