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Re: st: testing across different sub-samples


From   John Antonakis <john.antonakis@unil.ch>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: testing across different sub-samples
Date   Thu, 24 Sep 2009 22:33:11 +0200

Hi Martin:

I thought that he could estimate this with dummy fixed effects using -reg-

So, he simply does:

reg y x1 x2 x3 x4 x5 i.id if group ==0
est store zero
reg y x1 x2 x3 x4 x5 i.id if group ==1
est store one
suest zero one
test [zero_mean = one_mean]

Suest should be able to handle the "i.id" fixed effects, no?

Best,
J.

____________________________________________________

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 18:06, Martin Weiss wrote:
<>

"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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