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st: Testing cross-model hypothesis in long panel regressions.


From   Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Testing cross-model hypothesis in long panel regressions.
Date   Thu, 19 Aug 2010 14:39:07 -0400

Dear Statalist,

I have two models estimated with panel corrected standard errors

xtpcse y1 x11 x12 x13, corr(psar1)
xtpcse y2 x21 x22 x23, corr(psar1)

And I want to test cross-equation hypotheses, for example, test if the
coefficients of x11 and x21 are the same. I've tried using -suest-,
but it is not available for panel corrected standard errors. I also
tried estimating the models using -xtgls ..., corr(psar1) nmk-  and
then trying -suest-, but this won't work because -suest- needs scores
in order to calculate the simultaneous covariance matrix. Also, I'm
not sure if the underlying assumptions for -suest- (i.e, the
coefficients being jointly assymptotically normal) are satisfied in
this case.

My current solution is to take the coefficients of the first of the
models as given and test if the coefficients of the second model are
equal to the coefficients of the first model.

Does anyone know how can I test cross-equation hypotheses in this
case? I apologize if this is more of an statistical question rather
than an Stata question.

Thank you.
_______________________
Jorge Eduardo Pérez Pérez

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