1. Yes; it holds for probit or log and for dummies. Refer to the
postestimation tests for a specific command to see what tests you can do
after different estimation procedures.
2. Here is a nice note about what types of things you can compare (I
would not compare standardized coefficients, it confounds difference in
the relation with differences in the variances).
3. If the test is significant, it means that the coefficients are
significantly different.
J.
____________________________________________________
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
Fax ++41 (0)21 692-3305
Faculty page:
http://www.hec.unil.ch/people/jantonakis
Personal page:
http://www.hec.unil.ch/jantonakis
____________________________________________________
On 16.01.2010 12:29, Fabio Zona wrote:
> Does it hold also for probit or logit regression?? Even if the two
variables in question are dummy variables? If variables are expressed in
different scales, I do standardize them, is it correct?
> Finally: if test x = z is significant, it means that I reject the
hypothesys of equality, and, hence, the two coefficients are
significanltly different (and the larger is significantly larger than
the smaller one). Is it correct? Thanks!
>
>
>
> ----- Messaggio originale -----
> Da: "John Antonakis" <[email protected]>
> A: [email protected]
> Inviato: Sabato, 16 gennaio 2010 12:01:58 GMT +01:00
Amsterdam/Berlino/Berna/Roma/Stoccolma/Vienna
> Oggetto: Re: st: testing the difference between the estimated
coefficients
>
> Hi:
>
> It is simply the -test- command:
>
> reg y x z q
> test x = z
>
> Just read about the -test- command. This test constrains the
> coefficients to equality and uses a nested F-test to ascertain decrement
> in fit (r-square change). Of course, the usual assumptions hold
> regarding whether the test can be done (e.g., that x and z are on the
> same scale).
>
> HTH,
> J.
>
> ____________________________________________________
>
> 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
> Fax ++41 (0)21 692-3305
>
> Faculty page:
> http://www.hec.unil.ch/people/jantonakis
>
> Personal page:
> http://www.hec.unil.ch/jantonakis
> ____________________________________________________
>
>
>
> On 16.01.2010 11:55, Fabio Zona wrote:
>> A related issue:
>> What test should I run, and what STATA commands should I type to
test whether one coefficient of a regression is larger or smaller than
another coefficient? (in the same sample, not comparison of the same
coefficient between groups, but two different coefficients on the same
sample/population and in the same regression)
>> Thanks!
>>
>>
>>
>> ----- Messaggio originale -----
>> Da: "John Antonakis" <[email protected]>
>> A: [email protected]
>> Inviato: Sabato, 16 gennaio 2010 11:10:16 GMT +01:00
Amsterdam/Berlino/Berna/Roma/Stoccolma/Vienna
>> Oggetto: Re: st: testing the difference between the estimated
coefficients
>>
>> Hi:
>>
>> This is a job for suest.
>>
>> regress a b if year==2005
>> est store five
>>
>> regress a b if year==2000
>> est store zero
>>
>> suest five zero
>> test [five_mean]a = [zero_mean]b
>>
>> 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
>> Fax ++41 (0)21 692-3305
>>
>> Faculty page:
>> http://www.hec.unil.ch/people/jantonakis
>>
>> Personal page:
>> http://www.hec.unil.ch/jantonakis
>> ____________________________________________________
>>
>>
>>
>> On 16.01.2010 04:39, Sibel S. wrote:
>>
>>> If we run the following regressions,
>>> regress a b if year==2005 *equation 1
>>> regress a b if year==2000 *equation 2
>>> how can one test the difference between the estimated coefficients (b
>>> in equation 1 and b in equation 2) and get the t-statistic of
>>> difference?Thanks.
>>> *
>>> * 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/
>>>
>>>
>> *
>> * 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/
>> *
>> * 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/
>>
> *
> * 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/
> *
> * 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/
*
* 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/
