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From |
David Hoaglin <dchoaglin@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Comparing coefficients across sub-samples |

Date |
Thu, 2 Aug 2012 22:34:48 -0400 |

James, The concept underlying "Lisa's formula" is quite basic; you should be able to find it in almost any introductory book on mathematical statistics or probability ("variance of a sum or difference [or, more generally, a linear combination] of independent random variables"). It is not a "big" enough concept to be called a theorem, let alone be named after someone. I should be able to dig up a reference if needed. The only part of the formula that might need justification is the use of the estimates for var(B1) and var(B2) and then referring z to a standard normal distribution. That step relies on having "large" samples, but it should be OK, and it is very commonly done. David Hoaglin On Thu, Aug 2, 2012 at 9:51 PM, Fitzgerald, James <J.Fitzgerald2@ucc.ie> wrote: > David, > > One final thing; if I use this formula how would I reference or justify my use of it? Is it a basic formula I'd find in an econometrics text, or does it have a specific author, or is it founded on a particular theorem? > > Any help you can give is much appreciated > > James * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Comparing coefficients across sub-samples***From:*"Fitzgerald, James" <J.Fitzgerald2@ucc.ie>

**References**:**RE: st: Comparing coefficients across sub-samples***From:*"Fitzgerald, James" <J.Fitzgerald2@ucc.ie>

**Re: st: Comparing coefficients across sub-samples***From:*David Hoaglin <dchoaglin@gmail.com>

**Re: st: Comparing coefficients across sub-samples***From:*"Fitzgerald, James" <J.Fitzgerald2@ucc.ie>

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