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st: How to apply Chow test in Fama-MacBeth regressions


From   "LI Mengjia" <limengjia626@163.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: How to apply Chow test in Fama-MacBeth regressions
Date   Tue, 28 May 2013 14:36:28 +0800 (CST)

Dear Statalists,

I want to test whether the coefficients estimated from Fama-Macbeth regressions (using -xtfmb-) in two samples are significantly different. Since adding a dummy is useless in Fama-Macbeth regressions, I read this article (http://www.stata.com/support/faqs/statistics/computing-chow-statistic/) and would like to apply Chow test. However, -xtfmb- does not report the error sum of squares directly. Can anyone tell me how to display the error sum of squares in Fama-Macbeth regressions, or how to test the coefficients difference?

Many thanks and regards,
Mengjia


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