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st: Re: joint test for group mean comparison tests

From   Kit Baum <>
Subject   st: Re: joint test for group mean comparison tests
Date   Fri, 9 Oct 2009 09:25:51 -0400

webuse grunfeld,clear
keep if year<1938
su invest, mean
g hi = (invest > `r(mean)')
forv i=1935/1937 {
	ttest mvalue if year==`i', by(hi)
reg mvalue i.year##i.hi
// regression provides same point estimates as t-tests per year
lincom 1.hi+1936.year#1.hi
lincom 1.hi+1937.year#1.hi
// joint test that all three means are equal across hi and !hi
test (1.hi=0) (1.hi+1936.year#1.hi=0) (1.hi+1937.year#1.hi=0)

On Oct 9, 2009, at 2:33 AM, Lloyd wrote:

Hello. I am using -ttest- in combination with -bys- to do group mean comparison tests by the variable YEAR. Specifically, the command is...

bys YEAR: ttest REV if inlist(TYPE,1,3), by(TYPE)

My issue is this:
It does the test three separate times, i.e., for each value of YEAR. That is perfect. But, aside from generating three separate t- tests for the difference-in-means, is there a way for me to evaluate the three tests jointly, with a single test statistic? In other words, let's say that for 2 of the 3 years, I can reject the null. But, I cannot reject the null for the 3rd year. Can I test the joint hypothesis that I can reject the null across the 3 years?

Kit Baum   |   Boston College Economics & DIW Berlin   |
An Introduction to Stata Programming |
   An Introduction to Modern Econometrics Using Stata  |

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