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RE: st: testing across different sub-samples


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: testing across different sub-samples
Date   Thu, 24 Sep 2009 18:06:31 +0200

<>

"There is a quick way to do this using -suest-"

Can you give an example? -suest- is not available after -xt- commands...

HTH
Martin

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John Antonakis
Sent: Donnerstag, 24. September 2009 17:46
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: testing across different sub-samples

Hi Francesco:

What you need to do is a Chow test--i.e., test whether the set of 
coefficients differ across samples.

There is a quick way to do this using -suest-

Model the fixed effects with dummies, if you have any.

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

Faculty page:
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Personal page:
http://www.hec.unil.ch/jantonakis
____________________________________________________



On 24.09.2009 15:08, Francesco Trivieri wrote:
> Dear Martin,
>
> thank you again for your answer. I thought about using a Hausman test, 
> but I couldn't figure out how to actually implement it in stata for my 
> case. Please find below a more detailed description of my problem:
>
>
> I am estimating the following model
>
> xtreg y b1x1 b2x2 b2x3 b4x4 b5x5 (fe or re)
>
> on two different sub-samples (A and B), which can be individuated by a 
> dummy D. In both cases, I compute an index given by the sum of the 
> first three coefficients (b1+b2+b3). Then I need to assess whether the 
> two indexes from the two sub-samples are statistically different.  In 
> other words, I need to test whether  (b1+b2+b3)  in A = ( b1+b2+b3)  
> in B.
>
> Best regards
> Francesco
>
>
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