Does it hold also for probit or logit regression?? Even if the two variables in question are dummy variables? If variables are expressed in different scales, I do standardize them, is it correct?
Finally: if test x = z is significant, it means that I reject the hypothesys of equality, and, hence, the two coefficients are significanltly different (and the larger is significantly larger than the smaller one). Is it correct? Thanks!
----- Messaggio originale -----
Da: "John Antonakis" <[email protected]>
A: [email protected]
Inviato: Sabato, 16 gennaio 2010 12:01:58 GMT +01:00 Amsterdam/Berlino/Berna/Roma/Stoccolma/Vienna
Oggetto: Re: st: testing the difference between the estimated coefficients
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:
http://www.hec.unil.ch/people/jantonakis
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" <[email protected]>
> A: [email protected]
> 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:
* 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/
