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st: Test of parameter equality between two seemingly unrelated regressions


From   Michael Boehm <michael.boehm1@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Test of parameter equality between two seemingly unrelated regressions
Date   Wed, 15 Feb 2012 15:25:18 +0000

Dear all,

I want to run two seemingly unrelated regressions and then test for
the equality of coefficients for two of the subregressions, ie

sureg (dd t1 t2) (w t1 t2)  if sample== 0
sureg (dd t1 t2) (w t1 t2)  if sample== 1

and then test whether the coefficient for t1 in the regression of w on
t1 and t2 is the same in the two samples. Storing the estimates for
the two regressions and then using 'suest' along the lines of

sureg (dd t1 t2) (w t1 t2)  if sample== 0
estimates store sample0
sureg (dd t1 t2) (w t1 t2)  if sample== 1
estimates store sample1
suest sample0 sample1
test....

doesn't work as the suest command says "unable to generate scores for
model sample0 suest requires that predict allow the score option".
Does anyone have an idea of what to do?

Thanks,
Michael
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