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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 18:31:55 +0200

<>


Also note http://www.stata.com/support/faqs/stat/chow.html

This is a joint test for the equality of three coefficients across
equations:


**************
sysuse auto, clear
reg pr we le he if f
est store for
reg pr we le he if !f
est store dom
suest for dom
test [for_mean=dom_mean]:weight length headroom
**************


HTH
Martin


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Francesco
Trivieri
Sent: Donnerstag, 24. September 2009 18:24
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: testing across different sub-samples

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_mea
n]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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