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st: Comparing coefficients of two independent groups (random and fixed effects regressions)


From   Christoph Böhm <christophboehm@hotmail.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Comparing coefficients of two independent groups (random and fixed effects regressions)
Date   Sun, 24 Jul 2011 22:31:12 +0200

Hello everyone!

I was running some random and fixed effects regression for my panel
analysis. The regression analysis is based on two independent samples of
companies (group A and group B). In a first step I analyze them separately.
I first run random and fixed effects regressions with group A and then with
group B.

Second, I wanted to analyze both groups comparatively by comparing the
random effects coefficients of group A with the coefficients of group B. The
independent and dependent variables of both groups are exactly the same.

My problem is that I don't know how to compare the coefficients of group A
with the coefficients of group B when doing a panel analysis. I know the
procedure with sureg (equation A varlist) (equation B varlist) and then test
[eqnA]var = [eqnB]var. But I don't know how to do it with random and fixed
effects regressions with xtreg.

Can anyone help?

Thanks a lot in advance.

Christoph

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