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st: Comparing fixed effect regression coefficients between two groups


From   "Dominik Hennen" <dominik-hennen@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: Comparing fixed effect regression coefficients between two groups
Date   Mon, 17 Jan 2011 14:35:59 +0100

Dear all,
I have estimated a fixed effect panel regression model for two groups in my data set. In particular I compare high frequent stock trader with low frequent stock trader. In a second step I want to test if the coefficients, in particular the alpha return (the "constant" in the Carhart four factor model)are significantly different for both groups. The "suest" command does not work for xtreg. An alternative would be to include dummmies, however as I have more than 6000 investors this option doesn't work either.
Is there any command/approach to compare coefficients between two groups which were estimated via fixed effects?
I highly appreciate your help
With best regards
Dominik




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