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From |
Svendsgaard.David@epamail.epa.gov |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Thu, 19 Aug 2010 16:10:10 -0400 |

You could do a meta analysis: meta Effect SE where Effect is a variable with length two and contains coefficient of x11 and coefficient of x12 and where SE is a variable with length two and contains the SE of coefficient of x11 and the SE of coefficient of x12. But there is probably a better way. David J Svendsgaard, PhD Biostatistician EPA/ORD/NCEA/RTP, Mail Drop B-243-01 Research Triangle Park, NC 27711 Phone (919) 541-4186 Fax (919) 541-1818 From: Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co> To: <statalist@hsphsun2.harvard.edu> Date: 08/19/2010 02:41 PM Subject: st: Testing cross-model hypothesis in long panel regressions. Sent by: owner-statalist@hsphsun2.harvard.edu 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 * * 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/

**References**:**st: Testing cross-model hypothesis in long panel regressions.***From:*Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>

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