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From |
John Antonakis <[email protected]> |

To |
[email protected] |

Subject |
Re: st: testing the difference between the estimated coefficients |

Date |
Sat, 16 Jan 2010 12:55:21 +0100 |

***resending*** (My note was incomplete and I hit send too soon)

3. If the test is significant, it means that the coefficients are

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==2005est store fiveregress a b if year==2000est store zerosuest 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/

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