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st: Comparing coefficients with interactions in a SUR model


From   "Pohlmann, Sara" <pohlmann@bwl.lmu.de>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Comparing coefficients with interactions in a SUR model
Date   Sun, 11 Nov 2012 17:52:16 +0100

Hello,

I would like to compare coefficients accross models within a seemingly unrelated regression (SUR) model and with interactions.

Consider, e.g. the following SUR regression: sureg (Y x1 x2 controls) (Z x1 x2 controls).

As far as I understand, I can test whether size differences are significant with the wald test: Test [Y]x1= [Z]x1  

My "problem" now is, that x1 interacts with x2 in one of the regressions:

sureg (Y x1 x2 x3 controls) (Z x1 x2 controls).  where x3 = x1*x2 

If I now want to compare whether size differences are significant, i can run 

Test [Y]x1 + [Y]x3= [Z] x1,  where x3 = x1*x2. 

The test indicates a significant difference, however I am not sure whether the result is reliable since I created the interaction term manually. 
I also tried the command Test [Y]x1 + [Y]x1#[Y]x2= [Z] x1, but it does not work. Is there another way to test whether the coefficients differ significantly  when there is an interaction or is the Wald test how I ran it appropriate?

Thanks so much for your help in advance, I hope I explained my problem understanably.
Best  wishes,
Sara Pohlmann
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