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Re: st: equality of coefficients after ivreg


From   John Antonakis <John.Antonakis@unil.ch>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: equality of coefficients after ivreg
Date   Wed, 09 Nov 2011 19:48:07 +0100

Hi:

There is an easier and more elegant solution (several posts on this using gmm; thank Tirthankar--he showed this to me). Try:

gmm                                      ///
    (eq1: a_public - {b1}*b - {b2}*c - {b3}*x - {b0})       ///
    (eq2: a_private - {c1}*b - {c2}*c- {c3}*x - {c0}),      ///
    instruments(eq1: y z b c)     ///
    instruments(eq2: y z b c)             ///
    onestep winitial(unadjusted, indep)

*here's the test you want:
    test ([b1]_cons = [c1]_cons)

HTH,
John.

__________________________________________

Prof. John Antonakis
Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
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http://www.hec.unil.ch/people/jantonakis

Associate Editor
The Leadership Quarterly
__________________________________________


On 09.11.2011 17:24, Austin Nichols wrote:
> If you google:
>
> test whether the coefficients are equal after ivreg2 site:stata.com
>
> you will find several prior answers to this question including
>
> http://www.stata.com/statalist/archive/2010-04/msg00373.html
>
> On Wed, Nov 9, 2011 at 5:35 AM, <M.Xu1@lse.ac.uk> wrote:
>> Dear list
>>
>> I'm running
>>
>> Ivreg a_public b c (x = y z)
>> Eststo public
>> Ivreg a_private b c (x=y z)
>> Eststo private
>>
>> Where a_public is 0 for a subsample "private" and a_private is 0 for a
>> subsample "public".
>>
>> How can I test whether the coefficients of b are equal? It seems that
>> suest does not work with either ivreg nor reg3.
> *
> *   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/

*
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