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Re: st: Test coefficients

From   Nick Cox <>
Subject   Re: st: Test coefficients
Date   Wed, 18 Apr 2012 15:57:47 +0100

The problem with the test you imagine is that the set (old + new)
includes the subset new.  It is easier to define one or more indicator
variables (1 for new data and 0 for old) and phrase a test in terms of

As you're an economist you unsurprisingly tend to think in terms of
such tests. I prefer to think of the whole model and how it works in
predicting the data. Even if the new data are very similar some
coefficients will shift one way and others another way as a matter of
chance, but it's usually how the model works as a whole that interests
me most. So, I would might start by plotting predictions for old data
from old model versus predictions for old data from new model. My
guess is that would seem a strange thing to do in economists' circles.


On Wed, Apr 18, 2012 at 3:36 PM, Miguel Angel Valencia Garza
<> wrote:
> Dear all,
> I had estimated the regression coefficients for a panel (using xtgee). This was 8 months ago. I use this model to analyze the behavior of taxpayers and asses certain features. Now, I have updated the panel; i.e. I have fitted a new xtgee model with this panel. However, the coefficients look similar to the ones I'd estimated before.
> What test (or tests) should I perform in order to proving this hypothesis (H0: coeff_betas_8months_ago = coeff_betas_updated)? Can this test be done in Stata? Thank you all.

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