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st: comparing coefficients and retrieve b from bootstrap


From   "G. Dai" <dgecon@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: comparing coefficients and retrieve b from bootstrap
Date   Fri, 12 Mar 2010 09:23:51 -0800

hi all,

I'm interested in compare two coefficients from the  following two
regressions:
y=a0+a1*X1+a2*X2+ey
z=b0+b1*X1+b2*X3+ez
Under the idea case of OLS regression, I can use SURE regression to achieve
efficiency and easily test whether a1=b1.

Unfortunately, y is truncated in my data and z is a dummy and thus a probit
will
be a better choice. Keep this in mind, I have to compare a1 and b1 form the
regressions:
tobit y X1 X2 [pw=weight], ll(.) ul(.)
probit z X1 X3 [pw=weight]

So, my FIRST question is can anyone give me some advices on how to perform
this coefficient
test?

SECOND,  right now my idea is using bootstrap for each regression and
generate many estimates
of a1 and b1 and then use conventional test. However, to use the ttest, I
need to retrieve each estimate
from each replication and I don't know how to do it in STATA.

THIRD, can anyone say something about this bootstrap idea? does it work or
not? I don't much about bootstrap.

thank you all and any reply is highly appreciated.
regards,

Guang

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