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From |
Christopher F Baum <baum@bc.edu> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
re: Re: st: coefficient test in different regression models |

Date |
Mon, 4 Oct 2010 13:55:01 -0400 |

<> Maarten suggests estimating the two models by pooling. Not a bad idea, but it does impose one additional constraint: that the sigma^2 are the same across equations. For that reason one should at minimum use robust VCE in that case. An alternative is to use -suest-. Notice that you estimate the individual equations with classical VCE and apply robust on -suest- if desired. Note that the two approaches yield very similar p-values in this case. It might be interesting to do some simulations of the two approaches to see where they will agree or differ, but with the addition of -robust- Maarten's approach seems to be in line with what -suest- reports. sysuse auto, clear constraint 1 _b[1.foreign#c.mpg] = 0 cnsreg price c.mpg#i.foreign /// c.rep78#i.foreign /// i.foreign, constr(1) robust test _b[0b.foreign#c.rep78] = _b[1.foreign#c.rep78] qui reg price mpg rep78 if !foreign est sto dom qui reg price rep78 if foreign est sto for suest dom for, robust test [dom_mean]rep78 = [for_mean]rep78 Kit Kit Baum | Boston College Economics and DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * 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/

**Follow-Ups**:**re: Re: st: coefficient test in different regression models***From:*Maarten buis <maartenbuis@yahoo.co.uk>

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