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


From   Nick Cox <njcoxstata@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 12:07:04 +0100

I don't think that is the issue here. The issue is that one model has
fixed effects and the other doesn't. Whatever the best answer is, it
is not using -test-, as -test- does not compare those two models; it
just works on the model in memory.

Nick

On Tue, Apr 3, 2012 at 11:55 AM, David Hoaglin <dchoaglin@gmail.com> wrote:
> 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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