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From |
LI Mengjia <limengjia626@163.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: How to test coefficients obtained from Fama-MacBeth regressions across groups? |

Date |
Tue, 28 May 2013 01:28:20 +0800 |

Hi statalists, I want to test all the coefficients obtained from Fama-MacBeth regressions across 2 groups. I checked up with the FAQ files (http://www.ats.ucla.edu/stat/stata/faq/compreg2.htm and http://www.ats.ucla.edu/stat/stata/faq/compreg3.htm)and some similar questions raised before(http://www.stata.com/statalist/archive/2011-11/msg00398.html), but find the way they offered (most say adding a dummy and its interaction with other Xs) unable to solve my problem. I just want to test whether the coefficients are significantly different when x3>0 and x3<=0, where x3 remains constant at any given t. So I created a dummy, group, group=1when x3>0 and group=0 when x3<=0. Thus, the group dummy at any given time t takes the same value (e.g. for t=1,2, group=1, for t=3,4, group=0). Therefore, when -xtfmb- runs the first step (cross-section regression at every t), the group dummy has no effect and will be simply going to the constant term. I also tried -suest-, but just like the above mentioned archive file, it returns "was estimated with a nonstandard vie (Fama-Macbeth)". Can anyone kindly tell me how to deal with this problem? My data structure looks like: Code time y x1 x2 x3 group 001 1 15 8 2 0.78 1 001 2 11 5 3 0.65 1 002 1 23 14 6 0.78 1 002 2 31 18 10 0.65 1 002 3 19 7 11 -0.23 0 003 1 78 43 20 0.78 1 003 2 69 45 10 0.65 1 003 3 55 32 26 -0.23 0 003 4 83 54 41 -0.73 0 Best regards and many thanks, Mengjia * * 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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