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Re: st: comparing coefficients and retrieve b from bootstrap


From   "G. Dai" <dgecon@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: comparing coefficients and retrieve b from bootstrap
Date   Fri, 12 Mar 2010 11:02:20 -0800

the second has been solved, thanks.

On Fri, Mar 12, 2010 at 9:23 AM, G. Dai <dgecon@gmail.com> wrote:

> 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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