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From |
Michael Crain <[email protected]> |

To |
[email protected] |

Subject |
Re: st: Testing the difference between coefficients with interaction variables |

Date |
Sat, 27 Aug 2011 04:14:09 -0700 (PDT) |

>> reg y x1 x2 x3 x1*x2 x1*x3 Might the test between the three groups be: test x1 = (x1 + x1*x2) = (x1 + x1*x3) --- On Sat, 8/27/11, Tirthankar Chakravarty <[email protected]> wrote: > From: Tirthankar Chakravarty <[email protected]> > Subject: Re: st: Testing the difference between coefficients with interaction variables > To: [email protected] > Date: Saturday, August 27, 2011, 4:00 AM > But that is implicit in what you are > testing (combine equation 1 and > negative of equation 2 to get first of second set). Recall > that Wald > tests need the row rank of the constraint matrix to be full > - the > latter two constraints are redundant and would lead to a > degenerate > constraint matrix. > > T > > On Sat, Aug 27, 2011 at 12:43 AM, Michael Crain <[email protected]> > wrote: > >> /****************************/ > >> sysuse auto, clear > >> regress price c.mpg##i.rep78 > >> testparm c.mpg#i.rep78, equal > >> /****************************/ > > > > > > The output from this code seems to be testing the > joint significance of: > > group 2 - group 3 = 0 > > group 2 - group 4 = 0 > > group 2 - group 5 = 0 > > > > > > I don't see these results testing: > > group 3 - group 4 = 0 > > group 4 - group 5 = 0 > > > > Am I misinterpreting? > > > > > > --- On Sat, 8/27/11, Tirthankar Chakravarty <[email protected]> > wrote: > > > >> From: Tirthankar Chakravarty <[email protected]> > >> Subject: Re: st: Testing the difference between > coefficients with interaction variables > >> To: [email protected] > >> Date: Saturday, August 27, 2011, 3:10 AM > >> Add the "equal" option: > >> > >> /****************************/ > >> sysuse auto, clear > >> regress price c.mpg##i.rep78 > >> testparm c.mpg#i.rep78, equal > >> /****************************/ > >> > >> T > >> > >> On Sat, Aug 27, 2011 at 12:04 AM, Michael Crain > <[email protected]> > >> wrote: > >> > Yes, I see this is testing for differences > between the > >> base group > >> > compared to each of the other groups: > >> > > >> > base group - group 2 = 0 > >> > base group - group 3 = 0 > >> > etc. > >> > > >> > I am trying to test not only base group - > group 2 = > >> 0, > >> > but also: group 2 - group 3 = 0 > >> > > >> > Can examining coefficients between groups > other than > >> the base group be > >> > done in a straightforward way? > >> > > >> > > >> > --- On Sat, 8/27/11, Tirthankar Chakravarty > <[email protected]> > >> wrote: > >> > > >> >> From: Tirthankar Chakravarty <[email protected]> > >> >> Subject: Re: st: Testing the difference > between > >> coefficients with interaction variables > >> >> To: [email protected] > >> >> Date: Saturday, August 27, 2011, 2:28 AM > >> >> Here is an example: > >> >> > >> >> /****************************/ > >> >> sysuse auto, clear > >> >> regress price c.mpg##i.rep78 > >> >> testparm c.mpg#i.rep78 > >> >> /****************************/ > >> >> > >> >> This tests whether or not the coefficient > on "mpg" > >> is > >> >> significantly > >> >> different across categories of "rep78". > In this > >> case, you > >> >> are unable > >> >> to reject the hypothesis that they are > >> indistinguishable > >> >> from the > >> >> coefficient of "mpg" for the base group. > >> >> > >> >> T > >> >> > >> >> On Fri, Aug 26, 2011 at 11:12 PM, Michael > Crain > >> <[email protected]> > >> >> wrote: > >> >> > I know testing the difference > between > >> coefficients of > >> >> variables is > >> >> > straightforward: > >> >> > > >> >> > reg y x1 x2 x3 > >> >> > test x1 = x2 = x3 > >> >> > > >> >> > Is the test as straightforward for > examining > >> >> coefficients in models > >> >> > with interactions variables? > >> >> > > >> >> > reg y x1 x2 x3 x1*x2 x1*x3 > >> >> > > >> >> > where: > >> >> > > >> >> > x2 and x3 are dummy variables > that > >> identify > >> >> groups > >> >> > > >> >> > the base group is when x2=0 > and x3=0, > >> group 2 > >> >> > is when x2=1 and x3=0, group 3 > is when > >> x2=0 and > >> >> x3=1 > >> >> > > >> >> > I am interpreting the effect of the > base > >> group as x1's > >> >> coefficient. The > >> >> > effect of group 2 is the sum of > coefficients > >> of the x1 > >> >> and x1*x2 > >> >> > variables. Lastly, the effect of > group 3 is > >> the sum of > >> >> coefficients of > >> >> > the x1 and x1*x3 variables. > >> >> > > >> >> > Now, I want to examine whether the > effects of > >> the > >> >> three groups are > >> >> > different. > >> >> > > >> >> > Is the test: > >> >> > > >> >> > test x1 = x1*x2 = x1*x3 > >> >> > > >> >> > * > >> >> > * 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/ > >> >> > > >> >> > >> >> > >> >> > >> >> -- > >> >> Tirthankar Chakravarty > >> >> [email protected] > >> >> [email protected] > >> >> > >> >> * > >> >> * 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/ > >> >> > >> > > >> > > >> > * > >> > * 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/ > >> > > >> > >> > >> > >> -- > >> Tirthankar Chakravarty > >> [email protected] > >> [email protected] > >> > >> * > >> * 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/ > >> > > > > > > * > > * 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/ > > > > > > -- > Tirthankar Chakravarty > [email protected] > [email protected] > > * > * 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/ > * * 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/

**Follow-Ups**:**Re: st: Testing the difference between coefficients with interaction variables***From:*Tirthankar Chakravarty <[email protected]>

**References**:**Re: st: Testing the difference between coefficients with interaction variables***From:*Tirthankar Chakravarty <[email protected]>

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