Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

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


From   Steve Samuels <sjsamuels@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Testing cross-model hypothesis in long panel regressions.
Date   Thu, 19 Aug 2010 16:23:32 -0400

I don't know anything about -xtpcse-, but I suggest that you
bootstrap- the two regressions and get CIs for the coefficient
differences   See: http://www.stata.com/support/faqs/stat/xt_boot.html

Steve


-- 
Steven Samuels
sjsamuels@gmail.com
18 Cantine's Island
Saugerties NY 12477
USA
Voice: 845-246-0774
Fax:    206-202-4783



2010/8/19 Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>:
> 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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index