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st: Comparing coefficients across sub-samples


From   "Fitzgerald, James" <J.Fitzgerald2@ucc.ie>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Comparing coefficients across sub-samples
Date   Tue, 31 Jul 2012 23:14:45 +0000

Hi Statalisters

I am running the same model on two sub-samples as follows:

xtreg ltdbv lnta tang itang prof mtb if nolowlntalowtang==1, fe cluster(firm)

xtreg ltdbv lnta tang itang prof mtb if nolowlntalowtang==0, fe cluster(firm)

I want to compare the explanatory power of lnta across the two sub-samples i.e. in which sub-sample does lnta explain significantly more of the variation in ltdbv? 

Can anyone give me some advice on how to achieve this?

Thanks in advance

James
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