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SV: st: Comparing two timeseries regressions using esttab


From   Victor Kihlgren <21693@student.hhs.se>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   SV: st: Comparing two timeseries regressions using esttab
Date   Mon, 18 Apr 2011 18:30:14 +0000

Hi Robson,

Thank you for the answer. I am however not quite sure how to do this in stata. 

This is the code I am currently running:

reg hfrx vwret sclcret ptfsbd,r
eststo model1
reg hmf vwret sclcret ptfsbd,r
eststo model2

Now from this step I was hoping to tabulate the results (using esttab for example) and including  a 3rd column showing difference in betas aswell as the significance of the differences.

Is there a way of doing this or do I need a different approach?

Regards

Victor

________________________________________
Från: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] f&#246;r Robson Glasscock [glasscockrc@vcu.edu]
Skickat: den 18 april 2011 18:49
Till: statalist@hsphsun2.harvard.edu
Ämne: Re: st: Comparing two timeseries regressions using esttab

Hi Victor,
If I'm understanding you correctly, you are trying to conduct a
hypothesis test to see if there is a difference between two parameters
obtained from separate regressions. Let's call the first parameter B1
and the second parameter B2. Under the null hypothesis of parameter
equality B1= B2, so  B1-B2= 0. To find the statistical significance of
the difference, you need estimates of the variance of each parameter
and the covariance between them.

The test statistic will be (B1-B2)/ [Var(B1) + Var(B2) + 2Cov(B1,B2)] ^.5

The covariance between the parameters should be 0 if they are from
separate regressions, so you can drop the third term in the
denominator.

best,
Robson Glasscock


On Mon, Apr 18, 2011 at 11:03 AM, Victor Kihlgren <21693@student.hhs.se> wrote:
> Thank you for the tip. Is significance level of differences possible to obtain using only t-statistics? I am trying to replicate an essay comparing two different set of funds exposure to risk-classes.
>
> many thanks
>
> victor
>
> ________________________________________
> Från: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] f&#246;r Charles Koss [hqtiger@gmail.com]
> Skickat: den 18 april 2011 16:31
> Till: statalist@hsphsun2.harvard.edu
> Ämne: Re: st: Comparing two timeseries regressions using esttab
>
> use Excel to get the difference. Why do you want to obtain the
> significance level of each difference?
>
> Charles
>
> On Mon, Apr 18, 2011 at 2:19 AM, Victor Kihlgren <21693@student.hhs.se> wrote:
>>
>> Hello,
>>
>> I would like to compare two timeseries regressions using esttab. Ive managed to tabulate the results but i would like a column showing the difference between each beta and the significance level of each difference, how is this possible?
>>
>> Thanks
>>
>> Victor
>> *
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>>
>
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--
Robson Glasscock, CPA
Accounting PhD Student
Virginia Commonwealth University
Snead Hall, B3132
P.O. Box 844000
Richmond, VA 23284

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