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From |
Michael Crain <michaelcrain@ymail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Testing the difference between coefficients with interaction variables |

Date |
Sun, 28 Aug 2011 04:23:19 -0700 (PDT) |

Many thanks. This has been helpful. --- On Sat, 8/27/11, Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com> wrote: > From: Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com> > Subject: Re: st: Testing the difference between coefficients with interaction variables > To: statalist@hsphsun2.harvard.edu > Date: Saturday, August 27, 2011, 7:21 AM > I suppose, but there is algebraically > and statistically no difference > between this and > > testparm c.mpg#i.rep78 > > Try it for yourself, keeping in mind the redundancy > requirement > > sysuse auto, clear > regress price c.mpg##i.rep78 > testparm c.mpg#i.rep78 > > test mpg=(mpg+c.mpg#2.rep78) > test mpg=(mpg+c.mpg#3.rep78), accum > test mpg=(mpg+c.mpg#4.rep78), accum > test mpg=(mpg+c.mpg#5.rep78), accum > > T > > On Sat, Aug 27, 2011 at 4:14 AM, Michael Crain <michaelcrain@ymail.com> > wrote: > >>> reg y x1 x2 x3 x1*x2 x1*x3 > > > > Might the test between the three groups be: > > > > test x1 = (x1 + x1*x2) = (x1 + x1*x3) > > > > > > --- On Sat, 8/27/11, Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com> > wrote: > > > >> From: Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com> > >> Subject: Re: st: Testing the difference between > coefficients with interaction variables > >> To: statalist@hsphsun2.harvard.edu > >> Date: Saturday, August 27, 2011, 4:00 AM > >> But that is implicit in what you are > >> testing (combine equation 1 and > >> negative of equation 2 to get first of second > set). Recall > >> that Wald > >> tests need the row rank of the constraint matrix > to be full > >> - the > >> latter two constraints are redundant and would > lead to a > >> degenerate > >> constraint matrix. > >> > >> T > >> > >> On Sat, Aug 27, 2011 at 12:43 AM, Michael Crain > <michaelcrain@ymail.com> > >> wrote: > >> >> /****************************/ > >> >> sysuse auto, clear > >> >> regress price c.mpg##i.rep78 > >> >> testparm c.mpg#i.rep78, equal > >> >> /****************************/ > >> > > >> > > >> > The output from this code seems to be testing > the > >> joint significance of: > >> > group 2 - group 3 = 0 > >> > group 2 - group 4 = 0 > >> > group 2 - group 5 = 0 > >> > > >> > > >> > I don't see these results testing: > >> > group 3 - group 4 = 0 > >> > group 4 - group 5 = 0 > >> > > >> > Am I misinterpreting? > >> > > >> > > >> > --- On Sat, 8/27/11, Tirthankar Chakravarty > <tirthankar.chakravarty@gmail.com> > >> wrote: > >> > > >> >> From: Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com> > >> >> Subject: Re: st: Testing the difference > between > >> coefficients with interaction variables > >> >> To: statalist@hsphsun2.harvard.edu > >> >> Date: Saturday, August 27, 2011, 3:10 AM > >> >> Add the "equal" option: > >> >> > >> >> /****************************/ > >> >> sysuse auto, clear > >> >> regress price c.mpg##i.rep78 > >> >> testparm c.mpg#i.rep78, equal > >> >> /****************************/ > >> >> > >> >> T > >> >> > >> >> On Sat, Aug 27, 2011 at 12:04 AM, Michael > Crain > >> <michaelcrain@ymail.com> > >> >> wrote: > >> >> > Yes, I see this is testing for > differences > >> between the > >> >> base group > >> >> > compared to each of the other > groups: > >> >> > > >> >> > base group - group 2 = 0 > >> >> > base group - group 3 = 0 > >> >> > etc. > >> >> > > >> >> > I am trying to test not only base > group - > >> group 2 = > >> >> 0, > >> >> > but also: group 2 - group 3 = 0 > >> >> > > >> >> > Can examining coefficients between > groups > >> other than > >> >> the base group be > >> >> > done in a straightforward way? > >> >> > > >> >> > > >> >> > --- On Sat, 8/27/11, Tirthankar > Chakravarty > >> <tirthankar.chakravarty@gmail.com> > >> >> wrote: > >> >> > > >> >> >> From: Tirthankar Chakravarty > <tirthankar.chakravarty@gmail.com> > >> >> >> Subject: Re: st: Testing the > difference > >> between > >> >> coefficients with interaction variables > >> >> >> To: statalist@hsphsun2.harvard.edu > >> >> >> Date: Saturday, August 27, 2011, > 2:28 AM > >> >> >> Here is an example: > >> >> >> > >> >> >> /****************************/ > >> >> >> sysuse auto, clear > >> >> >> regress price c.mpg##i.rep78 > >> >> >> testparm c.mpg#i.rep78 > >> >> >> /****************************/ > >> >> >> > >> >> >> This tests whether or not the > coefficient > >> on "mpg" > >> >> is > >> >> >> significantly > >> >> >> different across categories of > "rep78". > >> In this > >> >> case, you > >> >> >> are unable > >> >> >> to reject the hypothesis that > they are > >> >> indistinguishable > >> >> >> from the > >> >> >> coefficient of "mpg" for the > base group. > >> >> >> > >> >> >> T > >> >> >> > >> >> >> On Fri, Aug 26, 2011 at 11:12 > PM, Michael > >> Crain > >> >> <michaelcrain@ymail.com> > >> >> >> wrote: > >> >> >> > I know testing the > difference > >> between > >> >> coefficients of > >> >> >> variables is > >> >> >> > straightforward: > >> >> >> > > >> >> >> > reg y x1 x2 x3 > >> >> >> > test x1 = x2 = x3 > >> >> >> > > >> >> >> > Is the test as > straightforward for > >> examining > >> >> >> coefficients in models > >> >> >> > with interactions > variables? > >> >> >> > > >> >> >> > reg y x1 x2 x3 x1*x2 x1*x3 > >> >> >> > > >> >> >> > where: > >> >> >> > > >> >> >> > x2 and x3 are dummy > variables > >> that > >> >> identify > >> >> >> groups > >> >> >> > > >> >> >> > the base group is > when x2=0 > >> and x3=0, > >> >> group 2 > >> >> >> > is when x2=1 and > x3=0, group 3 > >> is when > >> >> x2=0 and > >> >> >> x3=1 > >> >> >> > > >> >> >> > I am interpreting the > effect of the > >> base > >> >> group as x1's > >> >> >> coefficient. The > >> >> >> > effect of group 2 is the > sum of > >> coefficients > >> >> of the x1 > >> >> >> and x1*x2 > >> >> >> > variables. Lastly, the > effect of > >> group 3 is > >> >> the sum of > >> >> >> coefficients of > >> >> >> > the x1 and x1*x3 > variables. > >> >> >> > > >> >> >> > Now, I want to examine > whether the > >> effects of > >> >> the > >> >> >> three groups are > >> >> >> > different. > >> >> >> > > >> >> >> > Is the test: > >> >> >> > > >> >> >> > test x1 = x1*x2 = x1*x3 > >> >> >> > > >> >> >> > * > >> >> >> > * 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/ > >> >> >> > > >> >> >> > >> >> >> > >> >> >> > >> >> >> -- > >> >> >> Tirthankar Chakravarty > >> >> >> tchakravarty@ucsd.edu > >> >> >> tirthankar.chakravarty@gmail.com > >> >> >> > >> >> >> * > >> >> >> * 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/ > >> >> > > >> >> > >> >> > >> >> > >> >> -- > >> >> Tirthankar Chakravarty > >> >> tchakravarty@ucsd.edu > >> >> tirthankar.chakravarty@gmail.com > >> >> > >> >> * > >> >> * 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/ > >> > > >> > >> > >> > >> -- > >> Tirthankar Chakravarty > >> tchakravarty@ucsd.edu > >> tirthankar.chakravarty@gmail.com > >> > >> * > >> * 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/ > > > > > > -- > Tirthankar Chakravarty > tchakravarty@ucsd.edu > tirthankar.chakravarty@gmail.com > > * > * 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**:**Re: st: Testing the difference between coefficients with interaction variables***From:*Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>

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