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From |
"Kemal Turkcan" <[email protected]> |

To |
[email protected] |

Subject |
st: Testing Equality of Coefficients from two regressions |

Date |
Wed, 23 Apr 2008 12:53:01 +0300 |

Dear Statalisters, I have the following problem but couldnt solved it quite sometime. I have a panel data set consists of 30 countries and 17 years. I have performed several tests (such as Hausman test, Breush-Pagan test, autocorrelation test, and and heteroskedasticity test) that indicate XTGLS is correct procedure in my case. But I have realized that XTGLS postestimation can not produce e(RSS) which is necessary to test (Chow's F test) the equality of coefficients across two different groups (in my case: developed and developing countries). XTGLS postestimation can produce e(b) and e(V) which can be used to calculate the WALD test,asymtotically very similar to Chow's test. Something like that: W = (RB-r)'(R*V*R')(Rb-r) The problem is how I can create a restriction matrix "R" when I try to compare the sets of all coefficients from two regressions. The model I am estimating is: xtgls LIIT LAVGDP LDIFGDP LAVGDPP LDIFGDPP LDIST LMFDIOUT LEXCH, panels (hetero) corr(ar1) igls force I tried to use xtreg,re procedure to calculate Chow test as follows: xtreg LIIT LAVGDP LDIFGDP LAVGDPP LDIFGDPP LDIST LMFDIOUT LEXCH if core==1,fe vce(robust) est store core gen residualcore=e(rss) gen ncore=e(N) xtreg LIIT LAVGDP LDIFGDP LAVGDPP LDIFGDPP LDIST LMFDIOUT LEXCH if periphery==1,fe vce(robust) est store periphery gen residualperiphery=e(rss) gen nperiphery=e(N) xtreg LIIT LAVGDP LDIFGDP LAVGDPP LDIFGDPP LDIST LMFDIOUT LEXCH,fe vce (robust) est store total gen residualtotal=e(rss) gen k=7 gen F1=residualtotal-(residualcore+residualperiphery)/k gen F2=(residualcore+residualperiphery)/((ncore+nperiphery-2)*k) But this procedure is not correct when you have autocorrelation and heteroskedasticity problem. Can I use REG procedure to calculate FGLS with panel data? If I can, then I can easily compare coefficients using SUEST. Any help wilp be appreaciated, Kemal Turkcan * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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