Re: st: A test for variation in regression coefficients

["Michael N. Mitchell" <Michael.Norman.Mitchell@gmail.com>]

Dear Jeff

 I wonder if this example does the trick for you...

sysuse auto, clear
rename price y
rename headroom x1
rename trunk x2
rename weight x3
rename length x4
rename turn x5

regress y x1 x2 x3 x4 x5
test x1=x2
test x2=x3, accum
test x3=x4, accum
test x4=x5, accum

  So the final test yields...


 ( 1)  x1 - x2 = 0
 ( 2)  x2 - x3 = 0
 ( 3)  x3 - x4 = 0
 ( 4)  x4 - x5 = 0

       F(  4,    68) =    4.13
            Prob > F =    0.0047

  Which is the test that B1 = B2 = B3 = B4 = B5, which has 4 df and in this case is 
significant.

Is that what you are looking for?

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 2010-10-22 7.52 PM, Jeff Roberts wrote:
> Hi,
>
> I am interested in a test for variation in regression coefficients.  I have
> a block of coefficients (20 in all) for which I’d like to show that that the
> coefficient estimates vary one from another.  This would be test of the null
> hypothesis that Beta(i) is constant for all i.
> I have constructed linear contrasts to test that each coefficient is
> different from the “average” of the remaining coefficients; however, this
> not really the single test statistic that I’m after.
> Any thoughts would be greatly appreciated.
>
> Thanks and Best Regards,
> J.Roberts
>
>
>
>
> *
> *   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/