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| From | Steve Samuels <sjsamuels@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: Testing cross-model hypothesis in long panel regressions. |
| Date | Thu, 19 Aug 2010 18:00:06 -0400 |
Something like this, but use more replications Steve **************************CODE BEGINS************************** sysuse auto, clear rename mpg y1 rename turn y2 rename length x11 rename weight x21 scalar drop _all capture program drop myboot program define myboot, rclass reg y1 x11 preserve local b11 = _b[x11] return scalar b11 = `b11' reg y2 x21 local b21 = _b[x21] return scalar b21 = `b21' return scalar dif21 =`b21'-`b11' restore end bootstrap b11=r(b11) b21 = r(b21) dif21 = r(dif21), reps(50): myboot estat bootstrap, all ***************************CODE ENDS*************************** On Thu, Aug 19, 2010 at 4:23 PM, Steve Samuels <sjsamuels@gmail.com> wrote: > I don't know anything about -xtpcse-, but I suggest that you > bootstrap- the two regressions and get CIs for the coefficient > differences See: http://www.stata.com/support/faqs/stat/xt_boot.html > > Steve > > > -- > Steven Samuels > sjsamuels@gmail.com > 18 Cantine's Island > Saugerties NY 12477 > USA > Voice: 845-246-0774 > Fax: 206-202-4783 > > > > 2010/8/19 Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>: >> Dear Statalist, >> >> I have two models estimated with panel corrected standard errors >> >> xtpcse y1 x11 x12 x13, corr(psar1) >> xtpcse y2 x21 x22 x23, corr(psar1) >> >> And I want to test cross-equation hypotheses, for example, test if the >> coefficients of x11 and x21 are the same. I've tried using -suest-, >> but it is not available for panel corrected standard errors. I also >> tried estimating the models using -xtgls ..., corr(psar1) nmk- and >> then trying -suest-, but this won't work because -suest- needs scores >> in order to calculate the simultaneous covariance matrix. Also, I'm >> not sure if the underlying assumptions for -suest- (i.e, the >> coefficients being jointly assymptotically normal) are satisfied in >> this case. >> >> My current solution is to take the coefficients of the first of the >> models as given and test if the coefficients of the second model are >> equal to the coefficients of the first model. >> >> Does anyone know how can I test cross-equation hypotheses in this >> case? I apologize if this is more of an statistical question rather >> than an Stata question. >> >> Thank you. >> _______________________ >> Jorge Eduardo Pérez Pérez >> >> * >> * 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/ >> > -- Steven Samuels sjsamuels@gmail.com 18 Cantine's Island Saugerties NY 12477 USA Voice: 845-246-0774 Fax: 206-202-4783 * * 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/