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From |
"Nick Cox" <n.j.cox@durham.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: testing across different sub-samples |

Date |
Thu, 24 Sep 2009 17:29:42 +0100 |

This kind of thing is not my territory at all, but I wondering if fitting models in which x1+x2+x3 were summed to be a single predictor would make this easier. Nick n.j.cox@durham.ac.uk Francesco Trivieri 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 From: "Martin Weiss" <martin.weiss1@gmx.de> > "There is a quick way to do this using -suest-" > > Can you give an example? -suest- is not available after -xt- commands... John Antonakis > 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. > On 24.09.2009 15:08, Francesco Trivieri wrote: > >> 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. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: testing across different sub-samples***From:*"Francesco Trivieri" <francesco.trivieri@unical.it>

**Re: st: testing across different sub-samples***From:*John Antonakis <john.antonakis@unil.ch>

**RE: st: testing across different sub-samples***From:*"Martin Weiss" <martin.weiss1@gmx.de>

**Re: st: testing across different sub-samples***From:*"Francesco Trivieri" <francesco.trivieri@unical.it>

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