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   Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Testing cross-model hypothesis in long panel regressions.
Date   Fri, 20 Aug 2010 16:59:03 -0400

Thank you for your suggestions.
_______________________
Jorge Eduardo Pérez Pérez


On Thu, Aug 19, 2010 at 6:00 PM, Steve Samuels <sjsamuels@gmail.com> wrote:
> 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/
>

*
*   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