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AW: st: AW: constant in the suest command


From   "Martin Weiss" <[email protected]>
To   <[email protected]>
Subject   AW: st: AW: constant in the suest command
Date   Thu, 1 Oct 2009 14:49:03 +0200

<> 

This is a peculiarity of -suest- in connection with -regress-, described in
[R], p. 1803. But this constant is not the one that you are worried about.
As you can see from the -test- output in the last row, it is not part of its
output, even if you add option "constant" to -test-...


*************
sysuse auto, clear

reg price weight length  /* 
*/ trunk turn, nocon
est store one

reg weight length  /* 
*/ headroom turn, nocon
est store two

suest one two

te [one_mean =two_mean ], common
te [one_mean =two_mean ], common constant
*************



HTH
Martin


-----Ursprüngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von Flora Hofmann
Gesendet: Donnerstag, 1. Oktober 2009 14:44
An: [email protected]
Betreff: Re: st: AW: constant in the suest command

I am sorry if my question was too confused to answer. The main reason for
estimating the equations as a system is that I want to test cross equation
restrictions. 

The problem is that I want to estimate the equations without a constant.
Here is what I did: 

qui reg lny1 b1x1 b2x2 b3x3 year_dummies country_dummies, noc
est sto y1

qui reg lny2 b4x4 b5x5 b6x6 year_dummies country_dummies, noc
est sto y2

qui reg lny3 b7x7 b8x8 b9x9 year_dummies country_dummies, noc
est sto y3

suest y1 y2 y3

The output however always reports a constant for each of the three equations
as well. For example under the heading 'y1_mean' it reports the coefficients
and s.e. for all included variables and then under the heading 'y1_lnvar'a
constant is reported. It is this constant that is puzzeling. I am probably
just missing some basic feature of -suest-. However, I couldn't find any
explanation for the reason and interpretation of this constant. 

Regards 
flora hofmann



> 
> 
> Careful! The association between -suest- and -sureg- is rather loose, in
> spite of similar names. 
> 
> You may want to show your output with the "constant" issue to enable
> Statalisters to answer your question...
> 
> 
> 
> HTH
> Martin
> 
 command
> 
> Dear statalist,
> 
> I want to estimate a system of equations. Since heteroscedasticity seems
> to
> be an issue and according to the 'Breusch-Pagan test of independence'
> there
> are no efficiency gains from -sureg- I decided to use -suest-.
> 
> The equations are estimated by fixed effects. In order to be able to use
> -suest- I estimated the equations using -regress- and including a full set
> of time and country dummy variables while dropping the constant. However,
> -suest- keeps returning a constant. What constant is that? And how can it
> be
> interpreted?
> 
> Thanks for your consideration (of this rather basic question)
> 
> Flora Hofmann
> -- 


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