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Re: st: Simple coefficient test across models


From   "Michael N. Mitchell" <Michael.Norman.Mitchell@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Simple coefficient test across models
Date   Wed, 06 Oct 2010 19:33:17 -0700

Dear Garret

  I wonder if this example does the trick...

. sysuse auto
(1978 Automobile Data)

. sureg (mpg  weight) (mpg weight length)

Seemingly unrelated regression
----------------------------------------------------------------------
Equation          Obs  Parms        RMSE    "R-sq"       chi2        P
----------------------------------------------------------------------
mpg                74      1      3.3921    0.6515     138.36   0.0000
2mpg               74      2    3.389422    0.6521     142.45   0.0000
----------------------------------------------------------------------

------------------------------------------------------------------------------
             |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
mpg          |
      weight |  -.0060087   .0005108   -11.76   0.000    -.0070099   -.0050075
       _cons |   39.44028   1.592043    24.77   0.000     36.31994    42.56063
-------------+----------------------------------------------------------------
2mpg         |
      weight |  -.0059477    .000561   -10.60   0.000    -.0070471   -.0048482
      length |  -.0022519   .0091207    -0.25   0.805    -.0201282    .0156244
       _cons |    39.6792   1.843716    21.52   0.000     36.06559    43.29282
------------------------------------------------------------------------------

. lincom  [mpg]weight - [2mpg]weight

 ( 1)  [mpg]weight - [2mpg]weight = 0

------------------------------------------------------------------------------
             |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
         (1) |   -.000061   .0002617    -0.23   0.816     -.000574    .0004519
------------------------------------------------------------------------------

* Or you can use the -test- command...

. test [mpg]weight == [2mpg]weight

 ( 1)  [mpg]weight - [2mpg]weight = 0

           chi2(  1) =    0.05
         Prob > chi2 =    0.8156

Hope this helps,

Michael N. Mitchell
Data Management Using Stata      - http://www.stata.com/bookstore/dmus.html
A Visual Guide to Stata Graphics - http://www.stata.com/bookstore/vgsg.html
Stata tidbit of the week         - http://www.MichaelNormanMitchell.com



On 2010-10-06 7.22 PM, Garret Christensen wrote:
I imagine this is fairly simple--I'd like to test the equality of the coefficients on a variable in two slightly different models. Imagine doing reg y x1 and then reg y x1 x2, and I'd like to test whether _b[x1] (from the first model)=_b[x1] (from the second model). I saw the FAQ page http://www.stata.com/support/faqs/stat/testing.html, but I don't think it works in this case.

thanks,
Garret Christensen



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