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Re: st: Test of parameter equality between two seemingly unrelated regressions


From   Maarten Buis <maartenlbuis@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Test of parameter equality between two seemingly unrelated regressions
Date   Wed, 15 Feb 2012 16:40:15 +0100

On Wed, Feb 15, 2012 at 4:25 PM, Michael Boehm wrote:
> 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.

sureg (dd i.sample##(c.t2 c.t2) ) (w i.sample##(c.t1 c.t2))

The interaction effect for sample and t1 in the w equation gives you
the difference in effect of t1 between sample 0 and sample 1.
Similarly for the interaction between sample and t2. The test
statistics next to these interaction effects are for the test that
these differences are 0, so that is what you are looking for.

Hope this helps,
Maarten

-- 
--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany


http://www.maartenbuis.nl
--------------------------

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