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re: st: Comparing coefficients with interactions in a SUR model


From   Christopher Baum <kit.baum@bc.edu>
To   "<statalist@hsphsun2.harvard.edu>" <statalist@hsphsun2.harvard.edu>
Subject   re: st: Comparing coefficients with interactions in a SUR model
Date   Tue, 13 Nov 2012 15:45:56 +0000

<>
Sara wrote:

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?


With some excellent help from Stata tech support, here is one solution:

webuse grunfeld,clear
keep if company<3
reshape wide invest mvalue kstock, i(year) j(company)
sureg (invest1 kstock1 mvalue1) (invest2 c.kstock2##c.mvalue2)

margins, dydx(_all) post ///
expression(predict(equation(invest1))+predict(equation(invest2)))

test kstock1 = kstock2  
test mvalue1 = mvalue2

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html




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