Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: comparing coefficients using suest (same sample, same DV)


From   Tirthankar Chakravarty <[email protected]>
To   [email protected]
Subject   Re: st: comparing coefficients using suest (same sample, same DV)
Date   Mon, 13 Aug 2012 18:00:19 -0700

The econometrically transparent way to do this is to stack the moment
conditions corresponding to the two regression models, and estimate
them simultaneously specifying that the moment conditions be treated
independently. Use -gmm- to estimate, and standard GMM theory applies
to the Wald tests produced by -test-.

Here is an example
*---------------------------------------------------------------------
sysuse auto, clear
gmm (price - {xb: mpg foreign}-{b0}) /// regression 1
	(price - {xc: mpg foreign rep78}-{c0}), /// regression 2
	winitial(identity) ///
	instruments(1: mpg foreign) /// regressors exogenous
	instruments(2: mpg foreign rep78) ///
	wmatrix(unadjusted, independent) /// moment conditions independent

// test
test [xb_mpg]_cons = [xc_mpg]_cons
*---------------------------------------------------------------------

T


On Mon, Aug 13, 2012 at 5:31 PM, Sauermann, Henry
<[email protected]> wrote:
> Dear statalisters,
>
> I estimate two regressions using the same sample:
>
> (1)     Y=b1x1+e1
> (2)     Y=b1x1+b2x2+e2
>
> and would like to test the difference in b1 across the two models. I think
> that suest should work:
>
> reg eq1
> est store one
> reg eq2
> est store two
> suest one two
> test[mean_one]x1=[mean_two]x1
>
> However, most of the applications of suest I find are comparing
> coefficients across different samples or different dependent variables.
> The stata handbook also does not provide an example using the sample
> sample and the same Y. So, I wanted to see if anyone sees a problem using
> suest for this purpose.
>
> Thank you!
> Henry
>
> Henry Sauermann
> Assistant Professor of Strategic Management
> Georgia Institute of Technology
> Scheller College of Business
> 800, W. Peachtree St.
> Atlanta, GA 30308
> Phone: 404-385-4883
> http://mgt.gatech.edu/directory/faculty/sauermann/index.html
> SSRN Author page: http://ssrn.com/author=1142729
>
>
>
>
> *
> *   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/
*
*   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/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index