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Re: st: testing across different sub-samples


From   "Francesco Trivieri" <francesco.trivieri@unical.it>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: testing across different sub-samples
Date   Thu, 24 Sep 2009 18:24:12 +0200

Dear Martin and John

thank you very much for your help. I am trying to assess whether a sum of three coefficients from a given model (fixed effexts model, as suggested by xtoverid) is the same in two different two-samples. I have just tried the command -suest- suggestd by John, using - reg- instead of xtreg and allowing for fixed effects with dummies (id). Please find below the lines I wrote

xi: reg y x1 x2 x3 x4 x5 i.time i.id if D==0
estimates store zero
xi: reg y x1 x2 x3 x4 x5 i.time i.id if D==1
estimates store one
suest zero one
test [zero_mean]x1+[zero_mean]x2+[zero_mean]x3=[one_mean]x1+[one_mean]x2+[one_mean]x3

Do you reckon is this correct?

Thanks a lot
Francesco



----- Original Message ----- From: "Martin Weiss" <martin.weiss1@gmx.de>
To: <statalist@hsphsun2.harvard.edu>
Sent: Thursday, September 24, 2009 6:06 PM
Subject: RE: st: testing across different sub-samples



<>

"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:
http://www.hec.unil.ch/people/jantonakis&cl=en

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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