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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] för 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] för 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 >> * >> * 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/ > * > * 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/ > -- Robson Glasscock, CPA Accounting PhD Student Virginia Commonwealth University Snead Hall, B3132 P.O. Box 844000 Richmond, VA 23284 * * 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/

**References**:**st: Comparing two timeseries regressions using esttab***From:*Victor Kihlgren <21693@student.hhs.se>

**Re: st: Comparing two timeseries regressions using esttab***From:*Charles Koss <hqtiger@gmail.com>

**SV: st: Comparing two timeseries regressions using esttab***From:*Victor Kihlgren <21693@student.hhs.se>

**Re: st: Comparing two timeseries regressions using esttab***From:*Robson Glasscock <glasscockrc@vcu.edu>

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