Dear Stata list users,
I have the following situation: I estimate two models with Random Effects
(xtreg, re) over the same sample:
y1_it = c1 + �1*x1_it + e1_it
y2_it = c2 + �2*x1_it + e2_it
i.e., the one explanatory variable x1 is the same in both models for all
units, whereas the dependent variable is different. Imagine x1 to be a shock
in time t in municipality i, and y1 for example the share of municipal
inhabitants with characteristic 1, y2 the share of municipal inhabitants
with characteristic 2.
Task: I would like to test if �1=�2.
It it possible, and if so, how?
I imagine that the solution would entail estimating both equations in the
same model in order to obtain a common covariance matrix (something along
the lines of
- duplicating all observations
- gen y3=y1 if original, y3=y2 if duplicate
- estimating y3_it = dummy_orig + dummy_duplic + �1*x1*dummy_orig +
�2*x2*dummy_dupl + e_it
?)
but I do not know how to implement this in a random effects context and
where the caveats are.
I would greatly appreciate any help.
Thank you,
Johannes
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
