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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/

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

**Re: st: Testing cross-model hypothesis in long panel regressions.***From:*Steve Samuels <sjsamuels@gmail.com>

**Re: st: Testing cross-model hypothesis in long panel regressions.***From:*Steve Samuels <sjsamuels@gmail.com>

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