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Re: st: RE: Comparing fixed effect regression coefficients between two groups


From   "Dominik Hennen" <dominik-hennen@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Comparing fixed effect regression coefficients between two groups
Date   Mon, 17 Jan 2011 18:24:03 +0100

Dear Mark,
thanks very much for the fast reply and the detailed instructions. I followed your idea, and the approach works perfectly for the coefficient part (w and c_w) of the fixed effect model in my data set. I derive the same coefficient results using xtreg and your approach. However, I am primarily interested in the constant ( _cons ) of the equation. In your example this would be 3.16 for the xtreg command. When I leave out the "nocons" command in your "reg c_n c_w, dof(890) nocons" regression, the resulting value for "_cons" is not equal to the one derived from the xtreg regression. Same situation occurs in my data set(or am I missing something?) I guess in this case a comparison via suest doesnt make sense any more. Do you have an idea or a workaround how I can also compare the _cons values of to fixed effect models as well? 
Thanks again for your help Mark
With best regards
Dominik


-------- Original-Nachricht --------
> Datum: Mon, 17 Jan 2011 14:07:44 -0000
> Von: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
> An: statalist@hsphsun2.harvard.edu
> Betreff: st: RE: Comparing fixed effect regression coefficients between two groups

> Dominik,
> 
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu 
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> > Dominik Hennen
> > Sent: 17 January 2011 13:36
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: Comparing fixed effect regression coefficients 
> > between two groups
> > 
> > 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?
> 
> If you apply the within transformation (i.e., demean your data) by hand,
> you can obtain the FE coefficients using -regress-.  Ben Jann's -center-
> command (available from ssc archives in the usual way) is an easy way to
> implement the within transformation.
> 
> The vcv, error variance and SEs after using -regress- on demeaned data
> will be wrong (too small) since the degree of freedom won't incorporate
> the loss of dfs because of the FEs.  But if you use the undocumented
> -dof- option of -regress-, you can impose the right degrees of freedom
> on the estimation on the demeaned data.
> 
> Here's an example:
> 
> *************************************
> 
> webuse abdata, clear
> 
> * Note the degrees of freedom = 890
> xtreg n w, fe
> 
> * Apply centering to the same sample
> by id: center n w if e(sample)
> 
> * Force dof to be 890
> reg c_n c_w, dof(890) nocons
> 
> *************************************
> 
> Do this for both your FE estimations and then use -suest-, as you
> propose.
> 
> HTH,
> Mark
> 
> > I highly appreciate your help
> > With best regards
> > Dominik
> > 
> > 
> > 
> > 
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