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Re: st: how to test equality of coefficients - ivreg e suest?


From   Manuela Deidda <manuelad.deidda@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: how to test equality of coefficients - ivreg e suest?
Date   Thu, 14 Feb 2013 17:16:32 +0100

Dear John,
thank you for your quick  reply.
However, I have some doubts regarding this solution.
 Indeed, the gmm solution in the thread works when, given the
dependent variable Y and the indicator variable I (determining whether
Y belongs to group 1 or to group 2):

Y=Y1 if I=1 and 0 otherwise
Y=Y2 if I=0 and 0 otherwise

My situation is more like this:
Y=Y1 if I=1 and missing otherwise
Y=Y2 if I=0 and missing otherwise

In the first case, one estimates coefficients through the whole sample
(simply, you have that the variable is truncated at zero).
In the second case, you want only to estimate coefficients in the
subsample where you estimate the variable.

Ex. if n=1000
I=1 if _n=1/250
I=0 if _n=251/1000

I simply need to estimate Y1 when I have 250 observations and Y2 when
I have the other 750 obs...

How can I deal with this?

Best,
M.


2013/2/14 John Antonakis <John.Antonakis@unil.ch>:
> Try
>
> http://www.stata.com/statalist/archive/2011-11/msg00487.html
>
> This is a very elegant and quick solution:
>
> Best,
> J.
>
> __________________________________________
>
> John Antonakis
> Professor of Organizational Behavior
> Director, Ph.D. Program in Management
>
> Faculty of Business and Economics
> University of Lausanne
> Internef #618
> CH-1015 Lausanne-Dorigny
> Switzerland
> Tel ++41 (0)21 692-3438
> Fax ++41 (0)21 692-3305
> http://www.hec.unil.ch/people/jantonakis
>
> Associate Editor
> The Leadership Quarterly
> __________________________________________
>
>
> On 14.02.2013 13:02, Manuela Deidda wrote:
>>
>> is there any way to compare equality of estimated coefficients after
>> ivreg?
>> I have to estimate an iv regression in two different subsamples, defined
>> by
>> the dummy variable I:
>> 1) I=1
>> 2) I=0
>>
>>   with regress one can use suest to compare coefficients in a sample
>> split.
>> Is there a way to do something similar after ivreg?
>>
>> Any help is appreciated,
>> thanks a lot!
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