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Re: st: testing across different sub-samples

From   John Antonakis <[email protected]>
To   [email protected]
Subject   Re: st: testing across different sub-samples
Date   Thu, 24 Sep 2009 17:46:10 +0200

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.



Prof. John Antonakis
Associate Dean Faculty of Business and Economics
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny

Tel ++41 (0)21 692-3438
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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

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