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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 18:00:06 -0400

Something like this, but use more replications
Steve

**************************CODE BEGINS**************************
sysuse auto, clear
rename mpg y1
rename turn y2
rename  length x11
rename  weight x21
scalar drop _all
capture program drop myboot

program define myboot, rclass
reg y1 x11
preserve
local b11 = _b[x11]
return scalar b11 = `b11'

reg y2 x21
local b21 = _b[x21]
return scalar b21 = `b21'

return scalar dif21 =`b21'-`b11'

restore
end

bootstrap b11=r(b11) b21 = r(b21) dif21 = r(dif21), reps(50): myboot
estat bootstrap, all
***************************CODE ENDS***************************


On Thu, Aug 19, 2010 at 4:23 PM, Steve Samuels <sjsamuels@gmail.com> wrote:
> 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/
>>
>



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

*
*   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/


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