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st: Re: stesting across regressions

From   baum <[email protected]>
To   [email protected]
Subject   st: Re: stesting across regressions
Date   Wed, 21 Aug 2002 18:19:38 -0400

--On Wednesday, August 21, 2002 2:33 -0400 Hans wrote:

I wonder if there is a command to test if the coefficient on x1 in
regression (1) is equal to the coefficient on the same x1 but in another
regression (2), which is differently specified. I am applying a simple
OLS using robust standard errors.
Many thanks for your hinds.
This question resurfaces on the list every so often. It is not a technical issue (does Stata do...) but an econometric issue: generally speaking, such a test cannot be done. If you can place both equations into a single estimation problem--for instance, by specifying a SUR (sureg) in which both equations appear--then it is well defined. But if you run two separate regressions, there is no way to estimate the covariance of the two estimated coefficients.

Alternatively, one could (in some cases) pool the data, and run a single regression in which both coefficients appear, with dummies dealing with the alternative specifications. This would also raise an issue of heteroskedasticity between the two forms of the model, but that could be dealt with. But one way or another, both coefficients have to be estimated in the same coefficient vector for such a test to be well defined.

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