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st: RE: testing coefficients across different ivreg models - large dataset with many variables
From
"Schaffer, Mark E" <[email protected]>
To
<[email protected]>
Subject
st: RE: testing coefficients across different ivreg models - large dataset with many variables
Date
Thu, 10 Mar 2011 17:27:14 -0000
Scott,
You can stack the data as per Austin's posting to Statalist, and use the partial option of -ivreg2- to partial out the RHS fixed effects.
Or - probably faster - you can use the within transformation (Ben Jann's -center- command is good for that) to demean your data and then stack.
HTH,
Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Imberman, Scott A
> Sent: 10 March 2011 15:23
> To: '[email protected]'
> Subject: st: testing coefficients across different ivreg
> models - large dataset with many variables
>
> Dear Statalisters,
>
> I'm trying to run the following models on two different subsamples
>
> ivreg y = (x = z), cluster(k) if j = 1 (model1) ivreg y = (x
> = z), cluster(k) if j = 2 (model2) ivreg y = (x = z),
> cluster(k) if j = 3 (model3) ivreg y = (x = z), cluster(k)
> if j = 4 (model4)
>
> and I want to test if x(model 1) = x(model 2) = x(model 3) =
> x(model 4)
>
> I know that I can't use suest with ivreg and I can't use
> hausman due to the clustering. I'm trying to stack the data
> and run a fully interacted model as suggested in this posting
>
> http://www.stata.com/statalist/archive/2010-04/msg00366.html
>
> but my dataset is very large and I have many fixed effects
> and controls - about 1300 in each model, so 5200 in the fully
> interacted model and so it's taking a very long time to run.
> Is there any other way to test the coefficients across the
> separate models?
>
> Thanks.
>
> Scott A. Imberman
> Assistant Professor of Economics
> University of Houston
> 204 McElhinney Hall
> Houston, TX 77204-5019
>
> 713-743-3839
> [email protected]
> http://class.uh.edu/faculty/simberman
>
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>
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