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From | Maarten buis <maartenbuis@yahoo.co.uk> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: coefficient test in different regression models |
Date | Mon, 4 Oct 2010 16:59:33 +0100 (BST) |
--- On Mon, 4/10/10, a.carrozzone@libero.it wrote: > I have two linear models and they are estimated over > different samples. The models are non-nested but they > have some coefficients in common. > > I would like to test the hypothesis that one of the > coefficients in common is the same across the two > different models. > > Is there a standardized test to do this in STATA? Issues like these are often best solved by estimating one model with the appropriate interaction terms. In your case you might add some aditional constraints to set the coeficients for the variables you want to leave out at 0. Consider the following example. We have two samples, foreign and domestic cars. We want to explain price of domestic cars mpg and rep78, while we want to explain the price of foreign cars only with rep78. By using # instead of ## you get the effects of mpg and rep78 in each of our sub-samples separately rather than the difference in effect. I found out how to name these coeficients in the -test- and -constraint- comand by first estimating the model with the -coefl- option. *--------------- begin example ----------- sysuse auto, clear constraint 1 _b[1.foreign#c.mpg] = 0 cnsreg price c.mpg#i.foreign /// c.rep78#i.foreign /// i.foreign, constr(1) test _b[0b.foreign#c.rep78] = _b[1.foreign#c.rep78] *------------------ end example ------------- Hope this helps, Maarten -------------------------- Maarten L. Buis Institut fuer Soziologie Universitaet Tuebingen Wilhelmstrasse 36 72074 Tuebingen Germany http://www.maartenbuis.nl -------------------------- * * 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/