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Re: st: Chow Test for IV estimators in STATA


From   John Antonakis <[email protected]>
To   [email protected]
Subject   Re: st: Chow Test for IV estimators in STATA
Date   Sat, 02 Jan 2010 12:43:07 +0100

Hi:

I suspect you could test this with a structural equation modeling program (using Maximum Likelihood estimation) like glamm (I use Mplus for those purposes because it is much faster with ML estimation than glamm is; however, I don't know glamm well enough to make a definitive statement on this). Basically, in the case of a structural-equation modeling program you would define a stacked (multisample or multiple group model) and the test for the equality of coefficient/2 across groups (don't forget to allow the disturbances of y x1 and x2 to correlate, otherwise you will get OLS estimates).

HTH,
John.

____________________________________________________

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

Tel ++41 (0)21 692-3438
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Faculty page:
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Personal page:
http://www.hec.unil.ch/jantonakis
____________________________________________________



On 01.01.2010 23:33, Sungbok Lee wrote:
> Dear all,
>
> Is there anyone that have experienced the same question with mine in STATA?
> Please let me know how you did it.
>
> My question is to test the equality of the two IV estimators. But I have no
> idea of how to define an unrestricted regression expression in STATA.
>
> *restricted model: all coefficients are equal between the two groups
> ivreg y (x1 x2 = z1 z2)
>
> *unrestircted model: the coefficient for x1 is different but the coefficient
> for x2 is equal
>
>
> javanfish.
>
> *
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