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Re: st: Comparing Regression Coefficients Across Subsamples
From
Maarten Buis <[email protected]>
To
[email protected]
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
---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany
http://www.maartenbuis.nl
---------------------------------
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