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st: RE: re: comparing coefficients across by-groups

From   "Apostolos Ballas" <>
Subject   st: RE: re: comparing coefficients across by-groups
Date   Sun, 6 Feb 2005 09:02:37 +0200

Thanks! This does the trick.

A. Ballas 

-----Original Message-----
[] On Behalf Of Kit Baum
Sent: Saturday, February 05, 2005 9:28 PM
Subject: st: re: comparing coefficients across by-groups

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.

and Michael replied

         Would it be econometrically equivalent to create dummy variables
(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.

It would not be econometrically equivalent since the single regression, 
fully interacted including the constant, is being estimated with a 
constraint of a single sigma^2 across the groups. Unless that is a 
tenable assumption, it will lead to biased standard errors. Since the 
resulting heteroskedasticity is of known form, handling it with 
-robust- is not the best idea.

I believe this is a proper application of _suest_ (not be be confused 
with _sureg_). whelp suest. Rather than using _by_, you need to use 
_forvalues_ or _foreach_ to iterate over the groups and run the 
regressions and store estimates for each: e.g.

webuse grunfeld,clear
drop if company>4
estimates clear
qui forv i=1/4 {
  	regress invest mvalue kstock if company==`i'
  	estimates store co`i'
suest *
test [co1_mean]mvalue=[co2_mean]mvalue
test [co1_mean]mvalue=[co3_mean]mvalue,accum
test [co1_mean]mvalue=[co4_mean]mvalue,accum


Kit Baum, Boston College Economics

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