Re: st: some unexplained issues with coefficient comparisons

[jpitblado@stata.com (Jeff Pitblado, StataCorp LP)]

Narasimhan Sowmyanarayanan <narasimhan.sowmyanarayanan@gmail.com> is comparing
results of -suest- after -areg- with an equivalent -regress- model with
indicator variables:

> I am facing one situation that I have not been able to intuit. I ran
> two different fixed effect panel regressions for different groups and
> compared the coefficients across the two groups. The test yeilded that
> there was no significant difference when I used 'suest' to compare the
> coefficients.
> 
> Then I tried to run the same models in OLS using explicit dummy
> variables. My estimates are very close (some difference possibly came
> because of some additional dummy variables that I tried to put in that
> I could not use in my fixed effects model). The coefficients that I
> compared were very close. But when I ran the same comparison using OLS
> I found that the coefficients were significantly different.
> 
> To summarize the same coefficients when I used suest after areg gave
> me insignificant difference as compared to the usage of suest after a
> simple regression with dummy variables which indicated the difference
> was significant.

We've recently discovered that -suest- yields incorrect results when used
after -areg-.  This is not something that can easily be fixed given that the
meat of the sandwich estimator of variance (Robust/Huber/White VCE) cannot be
properly computed due to the fact that the coefficient estimates for the
absorbed categories in -areg- are not present in -e(b)- (and the corresponding
indicators are not present in the dataset).

In the next ado-file update, -suest- will report an error message when used
with -areg- (something it should have done from the start).

Note that -suest- was not listed as a supported postestimation command after
-areg- in [R] areg postestimation.

--Jeff
jpitblado@stata.com
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