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Re: st: rreg and suest


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: rreg and suest
Date   Tue, 25 Sep 2012 19:44:20 +0100

I guess that this requires a fix to -rreg_p- by someone, ideally
StataCorp. That is, -predict- after -rreg- uses -rreg_p-, which it
seems does not allow a -score- option.

On Tue, Sep 25, 2012 at 7:29 PM, Amy Dunbar
<Amy.Dunbar@business.uconn.edu> wrote:
> I would like to use robust regression (rreg)  and suest to compare coefficients in pre vs post models.  I realize I can create an indicator variable and use a single model, but I wanted to show the two approaches get the same results.
>
> If I use reg instead of rreg, I have no problem.
>
> sysuse auto.dta
>
> **********foreign***************
> rreg price mpg weight if foreign ==1
> estimates store m0
>
> **********domestic***************
> rreg price mpg weight if foreign ==0
> estimates store m1
>
> ********compare coefficients across models **************
> suest m0 m1
> test [m0_mean]weight = [m1_mean]weight
>
> error message:
> unable to generate scores for model m0
> suest requires that predict allow the score option
>
> Is there another way besides using an indicator variable to compare coefficients across equations using rreg?
>
>  I found the following comment from Nick Cox in a post:
> "I'd use -qreg- or one of the newer user-written robust regression programs rather than -rreg-, if only because I would have a job explaining to myself why there is not a less arbitrary way to do robust regression than -rreg-." http://www.stata.com/statalist/archive/2011-05/msg00835.html
>
> I haven't tried other estimators because I am trying to replicate a paper.

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