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st: Xtprobit - comparing coefficients across groups

From   "Stephen O&#39;Neill" <>
Subject   st: Xtprobit - comparing coefficients across groups
Date   Sat, 18 Jul 2009 17:17:49 -0700 (PDT)

I am estimating a dynamic probit model using xtprobit following the approach of Wooldridge (2005) "Simple solutions to the intitial conditions problem...". My dataset contains observations for 1,200 individuals over 8 years. I wish to allow the coefficients in my model to differ across groups (6 groups - I have a grouping variable). To do this I am currently estimating the model separately for each group. [I had used interaction terms originally but after reading Ai and Norton -"Interaction terms in logit and probit models" I decided against this]. I now have 3 related questions:

1) Is there an alternative method which does not require me to split my sample?
2) Given that the coefficients are really (beta/sigma), how can I compare the various coefficients (I presume I need to adjust by sigma_u)?
3) How can I test whether the coefficients differ across groups? [I also plan to look at different two periods so this question will arise here also]

Thank you in advance for any help which you can offer,


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