Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: How to perform a Wald test between the fixed effect...


From   Frank Barbera <[email protected]>
To   "[email protected]" <[email protected]>
Subject   st: How to perform a Wald test between the fixed effect...
Date   Wed, 20 Feb 2013 19:58:03 +1000

Dear Stata users, I'm attempting to perform what appears to be a relatively simple procedure in Sata, but due to my lack of experience with the program, I'm having a really hard time. I'm using a panel to estimate a the following standard fixed effects model 

(1)	yit = ai + bxit + eit. 

Where i are individual firms (3450 firms, coded as 'id') and t is time (3 years, coded as 'time'). Each firm can further be classified as belonging to a group (called 'ff') or not (I'll call these 'not ff'). This is done by way of a dummy variable equating to 1 if the firm is in the ff group and 0 otherwise. The problem is that ff is time invariant, so its effect cannot be directly estimated in the model (it's been absorbed into ai). Of course a random effect specification would allow me to observe the ff effect on y, but the data violate the assumption of no correlation between the unique errors and the regressors, so the fixed effect model is preferred. I took a closer look at the estimates for ai by way of the following command

regress y x i.id, noconstant

and simply compared the average ai for firms in the ff category with those in the not ff category. I now wish to officially test if the average ai (for ff firms) = average ai (for not ff firms), or in other words if the ff effect is significant. A Wald coefficient test with the restriction that average ai (for ff firms) - average ai (for not ff firms) = 0 should do it, but since I estimated (1) using the i.id option, I have no idea how to do this within (1). i.e. I do not wish to perform a fixed effect vector decomposition in multiple stages. 

Can anyone help?

Frank Barbera 


*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index