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Re: st: Comparing Regression Coefficients Across Subsamples

From   Maarten Buis <>
Subject   Re: st: Comparing Regression Coefficients Across Subsamples
Date   Mon, 6 Aug 2012 16:18:46 +0200

On Mon, Aug 6, 2012 at 4:08 PM, David Ashcraft wrote:
> Aside from regional affiliation, firms should be very similar as each firm is an investment firm with single mandate. I am using  _xtreg for regression analysis on the overall firms and then the same on each individual firm. R2 is 0.90 for almost every firm in the sample. Now I want to know if there is any difference in coefficients based on the regional affiliation. Based on  this situation what is your recommendation?

Sounds to me like a straightforward interaction effect.

If you use the -fe- option with -xtreg- than the main effects of
region will of course be absorbed in the the fixed effects. So in that
case you include the interaction effects with region but you do not
have to (and cannot) include the main effects of region.

Hope this helps,

Maarten L. Buis
Reichpietschufer 50
10785 Berlin

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