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st: Wald test across equations after ivregress or ivreg2


From   [email protected]
To   [email protected]
Subject   st: Wald test across equations after ivregress or ivreg2
Date   Thu, 23 Jul 2009 22:43:26 +0200

I have trouble figuring out how to do a wald test after iv regressions
I have 2 iv regressions of the same type with the same instruments for different subgroups

I would like to test if the coefficients of the instrumented variable in the two estimations differ significantly (F-, or Wald-Test).


I figured out how to do it in OLS:

reg y a b c if group == 1
est store one
reg y a b c if group == 2
est store two
suest one two

test var1one = var1two

I would like to do the same after estimating two IV regressions (ivreg2 or ivregress). 

There was earlier a related question with following answer but ivreg2 has not longer the option pscore: 

>>There is a bug in suest. Official Stata's ivreg (and our ivreg2) store a score variable, on request, as e(pscorevar). suest will not look there for it, demanding that it be named in e(scorevar). So the trick is...

ivreg2 ..., pscore(one)
est store one
est change one, scorevars(one)
ivreg2 ..., pscore(two)
est store two
est change two, scorevars(two)
suest one two
<<

Does someone know how to store the estimation results such that STATA can compare the coefficients over the two iv equations? 

Any help would be great

godiva
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