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From |
Ana Fernandez <[email protected]> |

To |
[email protected] |

Subject |
st: Testing the Equality of Coefficients Across Two xtabond Arellano-Bond Regressions |

Date |
Thu, 18 Jun 2009 11:02:18 -0400 |

Dear Statalist, I am trying to get stata to test the equality of coefficient estimates following two xtabond arellano-bond regressions. Normally I would run suest and lincom following two regressions but this doesn't work after xtabond because xtabond is is gmm estimation. Consider the following: Regression1: xtabond pctfemmanager if fed==1, lags(1) Regression2: xtabond pctfemmanger if fed==0, lags(1) (This corresponds to specification "pctfemmenagaer = a + b*L1.pctfemmanager" , and fed is a 1/0 dummy variable). Now I want to test whether the coefficient on lagged pctfemmanger (the main dependent variable) in regression1 is statistically significantly different from the coefficient on lagged pctfemmanager in regression2. Normally I would run the following test of equality of coefficients (after ols or fixed effects this works for example), but this doesn't work with xtabond because xtabond doesn't produce score terms: xtabond pctfemmanager if fed==1, lags(1) estimates store reg1 xtabond pctfemmanger if fed==0, lags(1) estimates store reg2 suest reg1 reg2 At this point I get an error message that says "reg1 was estimated with a non-standard vce (gmm)" If I hadn't gotten this error I could have just tested with following code: lincom [reg1_mean]L1.pctfemmanger-[reg2_mean]L1.pctfemmanager Do you know any other way to do this test? How can I test the equality of coefficients in two xtabond regressions? I am even willing to assume that the two samples for regression 1 and 2 are independent so that the covariances of the estimates between the two regressions are zero--perhaps there is a way to do this using the "test" command rather than "suest"? Or maybe "hausman"? Thanks, Ana Fernandez PS: I tried running a single regression xtabond pctfemmanager fed pctfemmanager_lag1Xfed, lags(1) where pctfemmanager_lage_1Xfed is the interaction of pctfemmanager and fed in order to use the "test" command to execute the above task. I expected this regression with interaction to give equivalent estimates as running two regressions on the samples for fed=1 and fed=0 but the estimates were not identical (which must have to do with xtabond since running it with ols/reg would have given equivalent estimates). * * 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/

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