Re: st: testing the difference between the estimated coefficients

[John Antonakis <john.antonakis@unil.ch>]

Hi:

It is simply the -test- command:

reg y x z q
test x = z

Just read about the -test- command. This test constrains the 
coefficients to equality and uses a nested F-test to ascertain decrement 
in fit (r-square change).  Of course, the usual assumptions hold 
regarding whether the test can be done (e.g., that x and z are on the 
same scale).

HTH,
J.

____________________________________________________

Prof. John Antonakis, Associate Dean 
Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland

Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305

Faculty page:
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Personal page:
http://www.hec.unil.ch/jantonakis
____________________________________________________



On 16.01.2010 11:55, Fabio Zona wrote:
> A related issue:
> What test should I run, and what STATA commands should I type to test whether one coefficient of a regression is larger or smaller than another coefficient? (in the same sample, not comparison of the same coefficient between groups, but two different coefficients on the same sample/population and in the same regression)
> Thanks!
>
>
>
> ----- Messaggio originale -----
> Da: "John Antonakis" <john.antonakis@unil.ch>
> A: statalist@hsphsun2.harvard.edu
> Inviato: Sabato, 16 gennaio 2010 11:10:16 GMT +01:00 Amsterdam/Berlino/Berna/Roma/Stoccolma/Vienna
> Oggetto: Re: st: testing the difference between the estimated coefficients
>
> Hi:
>
> This is a job for suest.
>
> regress a b if year==2005      
> est store five
>
> regress a b if year==2000      
> est store zero
>
> suest five zero
> test [five_mean]a = [zero_mean]b
>
> HTH,
> John.
>
> ____________________________________________________
>
> Prof. John Antonakis, Associate Dean 
> Faculty of Business and Economics
> Department of Organizational Behavior
> 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
>
> Personal page:
> http://www.hec.unil.ch/jantonakis
> ____________________________________________________
>
>
>
> On 16.01.2010 04:39, Sibel S. wrote:
>   
> > If we run the following regressions,
> > regress a b if year==2005      *equation 1
> > regress a b if year==2000      *equation 2
> > how can one test the difference between the estimated coefficients (b
> > in equation 1 and b in equation 2) and get the t-statistic of
> > difference?Thanks.
> > *
> > *   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/
> >   
> >     
> *
> *   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/
> *
> *   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/
>   
*
*   For searches and help try:
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*   http://www.ats.ucla.edu/stat/stata/