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st: reg3 - p-value for difference in coefficients across 2 models


From   Sascha Heller <Sascha.Heller@wiso.uni-hamburg.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: reg3 - p-value for difference in coefficients across 2 models
Date   Sun, 15 Aug 2010 18:14:44 +0200

Dear all,

I am trying to estimate a p-value for the difference in coefficients on one variable in a 3SLS regression framework for two subgroups.

Normally, I would use "suest" which does, however, not work for the "reg3"-command. One possibility is to estimate a joint model with a "subgroup-dummy and variable" interaction term. Unfortunately, the variable for which the p-value should be estimated is the dependent variable in the second equation for the endogenous explanatory variable.

reg3 (y variable x1 x2 x3) (variable x4 x5 x6)

I would regress the interaction term on the instrumental variables in the second equation which seems -let's say- "unorthodox" to me. The endogenous explanatory variable must be estimated

Is there any procedure to apply? Or any built-in command or ado-file? I couldn't find anything on the web.

Thanks in advance.

Sascha
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