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From | Sascha Heller <Sascha.Heller@wiso.uni-hamburg.de> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: reg3 - p-value for difference in coefficients across 2 models |
Date | Sun, 15 Aug 2010 18:14:44 +0200 |
Dear all,I am trying to estimate a p-value for the difference in coefficients on one variable in a 3SLS regression framework for two subgroups.
Normally, I would use "suest" which does, however, not work for the "reg3"-command. One possibility is to estimate a joint model with a "subgroup-dummy and variable" interaction term. Unfortunately, the variable for which the p-value should be estimated is the dependent variable in the second equation for the endogenous explanatory variable.
reg3 (y variable x1 x2 x3) (variable x4 x5 x6)I would regress the interaction term on the instrumental variables in the second equation which seems -let's say- "unorthodox" to me. The endogenous explanatory variable must be estimated
Is there any procedure to apply? Or any built-in command or ado-file? I couldn't find anything on the web.
Thanks in advance. Sascha * * 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/