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RE: st: A test for variation in regression coefficients


From   "Jeff Roberts" <jeff@roberts.net>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: A test for variation in regression coefficients
Date   Sat, 23 Oct 2010 07:38:54 -0400

Michael,
Thanks for quick response.  I believe that is it!  Thank you very much.
J.Roberts


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Michael N.
Mitchell
Sent: Friday, October 22, 2010 11:24 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: A test for variation in regression coefficients

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
>
>
>
>
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