On Feb 5, 2005, at 12:40 PM, Apostolos Ballas wrote:
Is there a simple way to test equality of coefficients from regressions
estimated over a number of sub-samples using the by command?
To be more specific, lets say I estimate
By group:regress y x1 x2
How can I test (automatically) whether
b11=b12=b13=...
Where bij refers to the coefficients of the ith independent estimated
in the
jth sub-sample.
Would it be econometrically equivalent to create dummy variables for
(n-1) of your sub-samples (equivalently, I think, your groups),
interact them with x1 & x2, and test the joint significance of the set
of interactions with each x? This approach could be made more compact
with the -xi- command. (You'll likely want dummies on the intercept
for the same (n-1) sub-samples as well.) HTH.
-- Mike
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