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


From   Michael Boehm <michael.boehm1@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Test of parameter equality between two seemingly unrelated regressions
Date   Wed, 15 Feb 2012 19:46:00 +0000

On Wed, Feb 15, 2012 at 3:40 PM, Maarten Buis <maartenlbuis@gmail.com> wrote:
> 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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Hi Maarten,

That's a very nice way of doing it. Thanks a lot for this. One
question aside: do you---or anyone else on the list---know how to
adress the interaction term for some postestimation testing, eg. if I
want to test whether the difference between coefficient of t1 and t2
on w is different in the two samples. The following 'naive' way

test [w]sample #c.t1 - [w]sample #c.t1 = 0

gives me the error message '[decade#c.t1] not found'.

Thanks again,
Michael

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