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From |
Maarten Buis <maartenlbuis@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Test of parameter equality between two seemingly unrelated regressions |

Date |
Wed, 15 Feb 2012 16:40:15 +0100 |

On Wed, Feb 15, 2012 at 4:25 PM, Michael Boehm wrote: > I want to run two seemingly unrelated regressions and then test for > the equality of coefficients for two of the subregressions, ie > > sureg (dd t1 t2) (w t1 t2) if sample== 0 > sureg (dd t1 t2) (w t1 t2) if sample== 1 > > and then test whether the coefficient for t1 in the regression of w on > t1 and t2 is the same in the two samples. sureg (dd i.sample##(c.t2 c.t2) ) (w i.sample##(c.t1 c.t2)) The interaction effect for sample and t1 in the w equation gives you the difference in effect of t1 between sample 0 and sample 1. Similarly for the interaction between sample and t2. The test statistics next to these interaction effects are for the test that these differences are 0, so that is what you are looking for. 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/

**Follow-Ups**:**Re: st: Test of parameter equality between two seemingly unrelated regressions***From:*Michael Boehm <michael.boehm1@gmail.com>

**Re: st: Test of parameter equality between two seemingly unrelated regressions***From:*Michael Boehm <michael.boehm1@gmail.com>

**References**:**st: Test of parameter equality between two seemingly unrelated regressions***From:*Michael Boehm <michael.boehm1@gmail.com>

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