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Re: st: what does increase in coefficient value over two time period indicate


From   Prakash Singh <prakashbhu@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   Re: st: what does increase in coefficient value over two time period indicate
Date   Mon, 5 Nov 2012 16:47:44 +0530

Maarten, thanks a lot for the quick reply. I agree to your words but I
was told that this is it so I thought of clarifying myself.

the estimated model includes
log of sector gdp (dependent variable)
log of credit allocated (independent variable)

and I have used Panel cointegration technique.

Please let me know if more information is required


Regards
Prakash

On Mon, Nov 5, 2012 at 4:37 PM, Maarten Buis <maartenlbuis@gmail.com> wrote:
> On Mon, Nov 5, 2012 at 11:54 AM, Prakash Singh wrote:
>> Suppose I run regression for two different time period for same set of
>> variables and get 0.13 and .34 (both statistically significant) as
>> estimated coefficient of a variable. Now I want to know that: does
>> this high coefficient value in the second period indicate improvement
>> in the effect of the variable on the dependent variable.
>
> Possible, but not certain.
>
> 1) We don't know what the unit of either the dependent and independent
> variable is, so we have no way of judging whether this is a
> substantively meaningful or a substantively meaningless change.
>
> 2) You did not say which regression model you used. If it is a
> non-linear model the comparison between periods becomes much harder,
> some would say impossible.
>
> 3) We cannot say with the information you have given use whether we
> can reject the hypothesis that these coefficients are equal. My
> default way to perform such a test is to estimate one model and add
> interaction terms, others prefer -suest-.
>
> -- Maarten
>
> ---------------------------------
> Maarten L. Buis
> WZB
> Reichpietschufer 50
> 10785 Berlin
> Germany
>
> http://www.maartenbuis.nl
> ---------------------------------
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