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Re: st: How to test whether coefficient change between two models significant


From   John Antonakis <John.Antonakis@unil.ch>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: How to test whether coefficient change between two models significant
Date   Tue, 07 Jun 2011 12:42:57 +0200

Hi:

A Hausman test could be used for this. Assuming B is consistent you'd simply do, e.g.:

webuse auto
reg price mpg
est store eff
reg price mpg weight
est store con
hausman con eff, sigmamore

HTH,
J.

__________________________________________

Prof. John Antonakis
Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
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Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
http://www.hec.unil.ch/people/jantonakis

Associate Editor
The Leadership Quarterly
__________________________________________


On 07.06.2011 12:01, Bluesman Wood wrote:
Hi.

I have two linear regression models A and B:

A:
attribute = c + explanatory_var1

B:
attribute = c + explanatory_var1 + explanatory_var2


Given that I know both explanatory variables are significant, I would like to know a way of testing whether the regression coefficient for explanatory_var1 changes significantly when I add in explanatory_var2.

Does anyone know a test for this that I could perform in STATA?

Many thanks,

Sam. 		 	   		
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