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st: Testing the significance in the change in dummy variable coefficients over different years


From   Scott Wright <leysw1@nottingham.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Testing the significance in the change in dummy variable coefficients over different years
Date   Wed, 1 May 2013 15:46:39 +0000

I am using -xtreg, fe- in Stata to estimate a basic model of how the number of people claiming jobseekers allowance in former UK coalfield areas has changed year on year. The model used is as follows:


xtreg totalclaimant y2005xshcoalfield2003 y2006xshcoalfield2003 y2007xshcoalfield2003 y2008xshcoalfield2003 y2009xshcoalfield2003 y2010xshcoalfield2003 y2011xshcoalfield2003 y2005 y2006 y2007 y2008 y2009 y2010 y2011, fe


(I have data from years 2004-2011, so 2004 is the base year)


This returns the following results:


---------------------------------------------------------------------------------------
    totalclaimantrate |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------------+----------------------------------------------------------------
y2005xshcoalfield2003 |   .1086935   .0654097     1.66   0.097    -.0195712    .2369582
y2006xshcoalfield2003 |   .1139901   .0654097     1.74   0.082    -.0142747    .2422548
y2007xshcoalfield2003 |   .1262875   .0654097     1.93   0.054    -.0019773    .2545522
y2008xshcoalfield2003 |   .4903476   .0654097     7.50   0.000     .3620829    .6186124
y2009xshcoalfield2003 |   .5707653   .0654097     8.73   0.000     .4425006    .6990301
y2010xshcoalfield2003 |   .4130544   .0654097     6.31   0.000     .2847897    .5413191
y2011xshcoalfield2003 |   .5392505   .0650208     8.29   0.000     .4117483    .6667527
                y2005 |    .183771   .0280191     6.56   0.000     .1288271    .2387149
                y2006 |   .2514903   .0280191     8.98   0.000     .1965464    .3064342
                y2007 |  -.0576325   .0280191    -2.06   0.040    -.1125764   -.0026886
                y2008 |   .7497359   .0280191    26.76   0.000      .694792    .8046798
                y2009 |   1.648683   .0280191    58.84   0.000     1.593739    1.703627
                y2010 |   1.241315   .0280191    44.30   0.000     1.186371    1.296259
                y2011 |   1.489159   .0279894    53.20   0.000     1.434273    1.544044
                _cons |   1.741667   .0179562    97.00   0.000     1.706456    1.776878


As you can see, there is obviously a significant difference in coefficients on y2005xshcoalfield through to y2007xshcoalfield and y2008xshcoalfield through to y2011xshcoalfield but is there any way of formally testing whether the difference is significant or not? An obvious way of doing this would be to do differences in differences, but since I am having to use fixed effects estimation I wouldn't know how to do this.


Many thanks,


Scott 



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