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st: Testing for coefficient equality with two way clustering

From   Koala Liu <>
Subject   st: Testing for coefficient equality with two way clustering
Date   Fri, 13 Apr 2012 03:17:19 -0700 (PDT)

Dear Statalisters,
I have a question regarding testing for equality of coefficients of the same model across different groups and I need to adjust for two way clustering in my model. 
Specifically, I want to do as below (I don't actually need to do iv regressions, OLS will do, but it is convenient for me to use the ivreg2 command to account for multi-way clustering):
ivreg2 y x1 x2 if rank_size==1, cl (firm year)

est store model1

ivreg2 y x1 x2 if rank_size==5, cl (firm year)

est store model2
and I want to compare to test whether [model1].x1 = [model2].x1  
With one way clustering, I used -suest- and -reg- with cluster option to solve for the problem. But now I want to adjust for two way clustering instead of one.
The option of using a dummy and create interactions to test in this case is practially very time-consuming (if not possible) since I need to do the tests for several groups and a large number of variables in my model. 
I would greatly appreciate for any help or suggestions.
Kind regards,
Liu Ji

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