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st: comparing coefficients across models


From   Dalhia <ggs_da@yahoo.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: comparing coefficients across models
Date   Thu, 2 Aug 2012 13:41:18 -0700 (PDT)

Hello, 
I have two groups and need to run the same regression model 
on both groups (number of observations differ but variables are all the 
same). I am interested in the difference in the coefficients for one 
particular variable. 

here are the two models I am running:

xtreg y x1 x2, fe robust if group==1
xtreg y x1 x2, fe robust if group==2

I cannot put the two groups together, and run the model with an 
interaction with dummy variable for group, because then the model becomes highly 
multicollinear, and the coefficients are not stable. 

Is there a test that can help me check if the coefficient on x2 differs significantly across the two groups?

Thanks
I really appreciate your help. I just spent half a day on google trying
to figure out voung test, clarke test, and chow test, and none appear 
to do what i need. 

Your help is much appreciated.
Dalhia Mani
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