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From |
Maarten buis <[email protected]> |

To |
[email protected] |

Subject |
Re: st: Testing equality of 2 coefficients after FE regression: How does Stata compute the Pooled SE and test statistic? |

Date |
Wed, 8 Dec 2010 10:57:30 +0000 (GMT) |

--- On Wed, 8/12/10, andreas nordset wrote: > after estimating a FE model, I am testing the equality of > two coefficients. > > The difference between them is about 3000 and the SE in the > regression output are respectively 1700 and 1600. I would > thus have thought that the test statistic should be > t = 3000/sqrt(1700^2+1600^2) =1.29 You are missing the covariance of the joint sampling distribution of these two parameters. The variance of the difference is: var(x1) + var(x2) - 2*cov(x1,x2) 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/

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