Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: How to use -suest- with -xtfmb- (test Fama-MacBeth regression coefficients)


From   Richard Herron <richard.c.herron@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: How to use -suest- with -xtfmb- (test Fama-MacBeth regression coefficients)
Date   Sun, 6 Nov 2011 23:23:55 -0500

I am using -xtfmb- from SSC to do Fama-MacBeth regressions (JPE 1973).
I estimate the model in two subsets and would like to use -suest- to
test if the models' coefficients are significantly different. But
-suest- gives the error that the model "was estimated with a
nonstandard vce (Fama-MacBeth)"

* begin code:
webuse grunfeld, clear
xtfmb invest mvalue kstock if time < 10
estimates store low
xtfmb invest mvalue kstock if time >= 10
estimates store high
suest low high
* end code

The help file for -xtfmb- says that coefficients can be tested if the
-lags()- option isn't used, but here -suest- fails. Is there a way
that I can use -suest- or an equivalent command? Thanks!
*
*   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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index