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Re: 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   Re: st: How to use -suest- with -xtfmb- (test Fama-MacBeth regression coefficients)
Date   Tue, 8 Nov 2011 09:56:58 -0500

I wasn't able to figure out a neat Stata solution, but a dummy
variable interaction and adjusting the table output does the trick.

Regress y on 1, X, D, and D*X, where D is an indicator variable and X
doesn't contain a vector of 1s. The coefficients on D and D*X are the
differences between the two models.

With the -keep()- option in -esttab- you can focus on the differences
by showing only the variables you choose (-esttab- is from the
-estout- package on SSC).

On Sun, Nov 6, 2011 at 23:23, Richard Herron <richard.c.herron@gmail.com> wrote:
>
> 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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> *   http://www.ats.ucla.edu/stat/stata/

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