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st: How to use -suest- with -xtfmb- (test Fama-MacBeth regression coefficients)
From
Richard Herron <[email protected]>
To
[email protected]
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!
*
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