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st: sub samples


From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: sub samples
Date   Mon, 27 Feb 2006 14:14:35 -0500

Jean writes "but isn't there a constraint there that the fixed effects have the same coefficients in both samples?"

Yes, there is, but strictly speaking they are not covariates, are they?

If you want to allow for these to vary as well,

webuse grunfeld, clear
gen byte postwar_years = year >1945
g company2 = cond(postwar_years,company,company+10)
foreach var of varlist mvalue kstock {
gen post_`var' = postwar_years*`var'
}
xtreg invest mvalue kstock post* ,fe clu(company)

With that formulation you cannot test for an intercept shift, but you can test for slope shifts.


Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html


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