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st: compare coefficients from two fixed-effects models

From   Jeremy Reynolds <[email protected]>
To   [email protected]
Subject   st: compare coefficients from two fixed-effects models
Date   Fri, 21 Sep 2007 13:18:10 -0400

Dear All,

I would like to estimate two fixed-effects regressions using the same sample and independent variables but different dependent variables. Then I would like to compare the coefficients for one or more of the independent variables across the two equations. The issue has arisen in an attempt to implement Jeffrey Edwards' alternative approach to using difference scores as dependent variables with a large panel data set with up to three observations for each respondent (Edwards 1995, Organizational Behavior and Human Decision Processes 64(3) 307-324).

If I were estimating regular OLS models, mvreg would provide a nice way to compare the coefficients across models, but I'm not sure what the best approach is with fixed-effects models.
I have listed three options below, but all of them leave me with questions and there may be better alternatives.

I would appreciate any guidance you may have.



Option 1: use xtreg, fe to estimate the regressions and suest to compare coefficients
Question: Is the suest command appropriate here?
xtreg Y1 X1 X2, i(id) fe
est store eqn1
xtreg Y2 X1 X2, i(id) fe
est store eqn2
suest eqn1 eqn2
test [eqn1=eqn2]: X1

Option 2: use regress with de-meaned variables and clustering/robust standard errors instead of the xtreg command
Question: Should the standard errors from this approach to estimating fixed effects be the same as with xtreg? (They do not seem to be the same)
regress Y1 X1_demeaned X2_demeaned
est store eqn1
regress Y2 X1_demeaned X2_demeaned
est store eqn2
suest eqn1 eqn2, cluster(id)
test [eqn1=eqn2]: X1_demeaned

Option 3: rely on results from a model with the difference score as the dependent variable for tests
Question: The coefficients in the third equation can be obtained by taking the difference between those from the first two equations, but are the significance tests in equation 3 equivalent to the test command?
xtreg Y1 X1 X2, i(id) fe
xtreg Y2 X1 X2, i(id) fe
xtreg (Y2-Y1) = X1 X2, i(id) fe

Dr. Jeremy Reynolds
Associate Professor
Undergraduate Coordinator
Department of Sociology
117 Baldwin Hall
University of Georgia
Athens, GA 30602-1611
Phone: (706) 583-8072
Fax: (706) 542-4320

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