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Re: st: comparing equality of coefficients from two subsamples


From   Rebecca Pope <rebecca.a.pope@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: comparing equality of coefficients from two subsamples
Date   Wed, 20 Feb 2013 08:49:55 -0600

Jay has given you important advice as it pertains to the group
residual variances.

You are correct that Wooldridge gives an explanation of interaction
terms. He also notes that a fully interacted model (as I assume you
will be estimating since your initial post seemed to suggest that you
expect different coefficients for all covariates for males and
females) assumes group error homogeneity (pg 245 of the 4th ed).
Unfortunately, there doesn't appear to be any discussion, at least in
that section, of how to address heteroskedasticity between the groups.
I didn't read through the rest of the book.

You might want to take a look at this FAQ by Bill Gould:
http://www.stata.com/support/faqs/statistics/pooling-data-and-chow-tests/

And these slides from a talk by Bobby Gutierrez:
http://www.stata.com/meeting/fnasug08/gutierrez.pdf

Only you can see your data and judge whether the constrained variance
model is appropriate or not. I wouldn't just dismiss the issue out of
hand though.

Rebecca

On Wed, Feb 20, 2013 at 5:47 AM, Mario Jose <mariojose276@gmail.com> wrote:
> Thanks you for comments. Testing for equality of coefficients from
> different subsamples, as suggested by Marteen, can be solved by
> interactions.
> There is an excellent explanation of the procedure in Wooldridge:
> Introd.Econometrics ModernApproach; pp. 243-246 and pp. 449-450 and in
> the following link:
> http://www.stata.com/support/faqs/statistics/chow-tests/
>
> Best,
> MJ
>
> 2013/2/18 JVerkuilen (Gmail) <jvverkuilen@gmail.com>:
>> As someone else indicated, your syntax is odd.
>>
>> The main question I have is whether you want to allow for different
>> group residual variances. If not, interaction. If so, then I guess the
>> easiest approach would be -suest-.
>>
>> On Mon, Feb 18, 2013 at 11:15 AM, Mario Jose <mariojose276@gmail.com> wrote:
>>> Dear Statalisters,
>>>
>>> I have tryed to solve the question below, searching for help in the
>>> Stata Archiv without too much success...
>>>
>>> I have estimated a fixed effects linear regression for two different
>>> groups on my sample (say, sex male/female), using this strategy:
>>> xtreg dv iv, if sex==male
>>> xtreg dv iv, if sex==female
>>>
>>> I am interested in testing whether or not the coefficient b1 is
>>> identical to each other in the two subsamples.
>>>
>>> I would really appreciate any help.
>>> Regards
>>> MJ
>>> *
>>> *   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/
>>
>>
>>
>> --
>> JVVerkuilen, PhD
>> jvverkuilen@gmail.com
>>
>> http://lesswrong.com/
>>
>> "Everybody loves progress but nobody likes change." ---Fortune cookie, 1/13/13.
>> *
>> *   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/
>
> 2013/2/18 JVerkuilen (Gmail) <jvverkuilen@gmail.com>:
>> As someone else indicated, your syntax is odd.
>>
>> The main question I have is whether you want to allow for different
>> group residual variances. If not, interaction. If so, then I guess the
>> easiest approach would be -suest-.
>>
>> On Mon, Feb 18, 2013 at 11:15 AM, Mario Jose <mariojose276@gmail.com> wrote:
>>> Dear Statalisters,
>>>
>>> I have tryed to solve the question below, searching for help in the
>>> Stata Archiv without too much success...
>>>
>>> I have estimated a fixed effects linear regression for two different
>>> groups on my sample (say, sex male/female), using this strategy:
>>> xtreg dv iv, if sex==male
>>> xtreg dv iv, if sex==female
>>>
>>> I am interested in testing whether or not the coefficient b1 is
>>> identical to each other in the two subsamples.
>>>
>>> I would really appreciate any help.
>>> Regards
>>> MJ
>>> *
>>> *   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/
>>
>>
>>
>> --
>> JVVerkuilen, PhD
>> jvverkuilen@gmail.com
>>
>> http://lesswrong.com/
>>
>> "Everybody loves progress but nobody likes change." ---Fortune cookie, 1/13/13.
>> *
>> *   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/
> *
> *   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/



On Wed, Feb 20, 2013 at 5:47 AM, Mario Jose <mariojose276@gmail.com> wrote:
> Thanks you for comments. Testing for equality of coefficients from
> different subsamples, as suggested by Marteen, can be solved by
> interactions.
> There is an excellent explanation of the procedure in Wooldridge:
> Introd.Econometrics ModernApproach; pp. 243-246 and pp. 449-450 and in
> the following link:
> http://www.stata.com/support/faqs/statistics/chow-tests/
>
> Best,
> MJ
>
> 2013/2/18 JVerkuilen (Gmail) <jvverkuilen@gmail.com>:
>> As someone else indicated, your syntax is odd.
>>
>> The main question I have is whether you want to allow for different
>> group residual variances. If not, interaction. If so, then I guess the
>> easiest approach would be -suest-.
>>
>> On Mon, Feb 18, 2013 at 11:15 AM, Mario Jose <mariojose276@gmail.com> wrote:
>>> Dear Statalisters,
>>>
>>> I have tryed to solve the question below, searching for help in the
>>> Stata Archiv without too much success...
>>>
>>> I have estimated a fixed effects linear regression for two different
>>> groups on my sample (say, sex male/female), using this strategy:
>>> xtreg dv iv, if sex==male
>>> xtreg dv iv, if sex==female
>>>
>>> I am interested in testing whether or not the coefficient b1 is
>>> identical to each other in the two subsamples.
>>>
>>> I would really appreciate any help.
>>> Regards
>>> MJ
>>> *
>>> *   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/
>>
>>
>>
>> --
>> JVVerkuilen, PhD
>> jvverkuilen@gmail.com
>>
>> http://lesswrong.com/
>>
>> "Everybody loves progress but nobody likes change." ---Fortune cookie, 1/13/13.
>> *
>> *   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/
>
> 2013/2/18 JVerkuilen (Gmail) <jvverkuilen@gmail.com>:
>> As someone else indicated, your syntax is odd.
>>
>> The main question I have is whether you want to allow for different
>> group residual variances. If not, interaction. If so, then I guess the
>> easiest approach would be -suest-.
>>
>> On Mon, Feb 18, 2013 at 11:15 AM, Mario Jose <mariojose276@gmail.com> wrote:
>>> Dear Statalisters,
>>>
>>> I have tryed to solve the question below, searching for help in the
>>> Stata Archiv without too much success...
>>>
>>> I have estimated a fixed effects linear regression for two different
>>> groups on my sample (say, sex male/female), using this strategy:
>>> xtreg dv iv, if sex==male
>>> xtreg dv iv, if sex==female
>>>
>>> I am interested in testing whether or not the coefficient b1 is
>>> identical to each other in the two subsamples.
>>>
>>> I would really appreciate any help.
>>> Regards
>>> MJ
>>> *
>>> *   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/
>>
>>
>>
>> --
>> JVVerkuilen, PhD
>> jvverkuilen@gmail.com
>>
>> http://lesswrong.com/
>>
>> "Everybody loves progress but nobody likes change." ---Fortune cookie, 1/13/13.
>> *
>> *   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/
> *
> *   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/
*
*   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/


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