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Re: st: testing equality of coefficients across two ivregress models


From   Kanika Mahajan <kanika26@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: testing equality of coefficients across two ivregress models
Date   Tue, 28 Jun 2011 01:21:32 +0530

Hi Nidhiya,

You could try the cmp module by Roodman(It uses the LIML method). That
should solve your problem.

Regards,
Kanika


On 6/27/11, Nidhiya Menon <nmenon@brandeis.edu> wrote:
> All,
>
> I am trying to test the equality of coefficients on the endogenous
> variable in two ivregress models.  Essentially, I am estimating the
> following:
>
> ivregress 2sls y x3 (x1 = z1), cluster (regionid)
> ivregress 2sls y x3 (x1 = z1) x2, cluster(regionid)
>
> I want to test whether the coefficient on x1 is statistically equivalent
> in the two models with the inclusion of the x2 regressors in the second
> model.  I cannot use suest directly to implement this test since
> ivregress is not supported.
>
> Any help you are able to provide would be much appreciated.
>
> Many thanks.
> Nidhiya
>
>
>
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>


-- 
Kanika
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