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Re: st: test for equality of coeff. across models with different samples


From   David Hoaglin <dchoaglin@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: test for equality of coeff. across models with different samples
Date   Tue, 3 Apr 2012 06:55:00 -0400

Bettina,

If one sample is a subsample of the other, the two estimates of a
particular coefficient are not independent.  You can "test their
equality" by fitting a model to the full sample that includes an
interaction between the subsample and each predictor (for the
constant, an indicator for being in the subsample).  The test would
then be that the coefficient of the interaction is zero.

David Hoaglin


> I estimate two models and want to test for equality of coefficients across the equations. At the same time the samples I use differ across models (one is a subsample of the other) .
> More specifically I estimate:
> Logit dep.var independent vars
> Logit dep.var independents vars, fe
>
> I want to know whether coefficientlist_eq.1=coefficientlist_eq.2 foreach independent variable.
> Is test the appropriate command here?
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