Hi Francesco:
What you need to do is a Chow test--i.e., test whether the set of
coefficients differ across samples.
There is a quick way to do this using -suest-
Model the fixed effects with dummies, if you have any.
HTH,
John.
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On 24.09.2009 15:08, Francesco Trivieri wrote:
Dear Martin,
thank you again for your answer. I thought about using a Hausman test,
but I couldn't figure out how to actually implement it in stata for my
case. Please find below a more detailed description of my problem:
I am estimating the following model
xtreg y b1x1 b2x2 b2x3 b4x4 b5x5 (fe or re)
on two different sub-samples (A and B), which can be individuated by a
dummy D. In both cases, I compute an index given by the sum of the
first three coefficients (b1+b2+b3). Then I need to assess whether the
two indexes from the two sub-samples are statistically different. In
other words, I need to test whether (b1+b2+b3) in A = ( b1+b2+b3)
in B.
Best regards
Francesco
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