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Re: st: Testing interaction terms / mutually exclusive variables


From   Verena Dill <dill@uni-trier.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Testing interaction terms / mutually exclusive variables
Date   Thu, 20 Jun 2013 19:01:41 +0200

I want to test whether or not the coeffients are the same (_b[var1]=_b[bar2]) and take into account that they are mutually exclusive.


Thanks a lot for your ongoing help!

Am 20.06.2013 18:18, schrieb David Hoaglin:
Verena,

If I may ask an ignorant question, in what way does -test- not take
into account the fact that the two dummy variables are mutually
exclusive?  (I do not have Stata documentation handy.)  If the two
dummy variables are in the same regression model, the covariance
matrix of the estimated coefficients reflects that structure.  Can you
use -lincom- after the regression command?  I do not yet understand,
however, why you would need -lincom-.  The usual output from a
regression includes a confidence interval for each coefficient, and
the test of whether the coefficient is zero is equivalent to asking
whether zero is in the confidence interval.

If those two dummy variables are also exhaustive, one of them may be
considered part of the definition of the intercept.  Then the
coefficient of the other dummy variable will be the estimated
difference between the two categories (i.e., the additional intercept
for the second category).

David Hoaglin

On Thu, Jun 20, 2013 at 11:53 AM, Verena Dill<dill@uni-trier.de>  wrote:
thank you so much again for your answer. After reading your reply and
re-reading my emails I concluded that it may not have been the best way to
explain my problem. I will try a better strategy:

I have two dummy variables that are mutually exclusive. For example, a firm
belongs to the service sector, to the manufacturing sector or other sectors.
I am running a regression and want to test whether or not the estimated
coefficients are signficantly different from zero. One approach is to use
the post-estimation command "test". Howover, "test" does not take into
account that the two dummy variables are mutually exclusive. Is there
another procedure that does this?


Thank you very much in advance
Verena
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