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Re: st: comparing coefficients across models


From   David Hoaglin <dchoaglin@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: comparing coefficients across models
Date   Thu, 2 Aug 2012 21:33:21 -0400

Hello, Dalhia.

Others have already given a useful suggestion for comparing the two
coefficients.

You should investigate the reason(s) for the collinearity problem that
you are reporting.  If x1 and x2 are continuous variables, it may be
helpful to center them (at their mean or at some other convenient
value).

What was the actual model that produced the collinearity problem?

David Hoaglin

On Thu, Aug 2, 2012 at 4:41 PM, Dalhia <ggs_da@yahoo.com> wrote:
>
> 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?
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