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st: comparing coefficients across 2 models


From   francesco.mazzi@unifi.it
To   statalist@hsphsun2.harvard.edu
Subject   st: comparing coefficients across 2 models
Date   Mon, 26 Nov 2012 11:08:34 +0100

Dear all,

I am struggling with a model and I am interested in understanding if an independent variable (x1) changed its impact on the dependent variable (y) following an event (prepost=0 if pre event; prepost=1 if post event).

I know that I could run a model considering the interaction of the two.
xi: regress y c.x1##i.prepost x2 x3, robust cluster(firmcluster)
The problem is that I got really high VIFs (above 30!!)

I investigate the possibility of centering or orthogonalising the variables (I saved the residuals of regress x1_prepost_interaction x1 prepost). I got quite nice results. Do you think this is ok and acceptable? Can you suggest other methods for overcoming the problem of multicollinearity?

Moreover, I thought to split the model and run the following two commands
regress y x1 x2 x3 if prepost==0
estimates store modelpre
regress y x1 x2 x3 if prepost==1
estimates store modelpost

Now, if I wanted to compare x1 across the two models (pre and post), what can I do? I read on the web something about lincom or suest, but I am not really confident with these commands.
Can anyone of you explain me the differences or help me with this?

Thanks to all of you for your help,
Francesco


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