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Re: st: Comparison of Coefficients on two separate models with different dependent variables but with same independent variables


From   Jorge Eduardo Pérez Pérez <jorge_perez@brown.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Comparison of Coefficients on two separate models with different dependent variables but with same independent variables
Date   Sat, 19 Oct 2013 14:07:22 -0400

You can use -sureg- to get a variance-covariance matrix for the
coefficients of the two models and test the difference in coefficients
across models.

sysuse auto, clear
* Get a different outcome on same scale
gen price2=price+10*rnormal()
* Two regressions
reg price mpg turn
reg price2 mpg turn
* Estimating jointly yields the same coefficients
* Use small and dfk to yield small sample stats comparable with reg
sureg (price mpg turn) (price2 mpg turn), small dfk
* Test difference
lincom [price]mpg - [price2]mpg

Hope this helps,
--------------------------------------------
Jorge Eduardo Pérez Pérez
Graduate Student
Department of Economics
Brown University


On Fri, Oct 18, 2013 at 7:04 PM, Satyen Dubey <vikramfinavker@gmail.com> wrote:
> Dear All,
>
> I have two dependent variables that are both measured on the same scale.
> They measures firms probability of default. One measure is for 1-year
> Probability of default (1PDF) and the other is for 5-year Probability of
> default (5PDF). One of my main independent variable is firms use of
> derivatives and negative coefficient on it will show that firms use of
> derivatives lowers its probability of default.
>
> I run my regression as follow.
>
> reg 1PDF derivatives x y z..............(1 Model)
> reg 5PDF derivatives x y z..............(2 Model)
>
> both of these equations are same except for the dependent variable.
>
> The reason i want to compare the coefficients is that for 1PDF my
> coefficient on derivatives is larger in absolute term than the one i find on
> 5PDF. These indicates that derivatives use is more effective in short term
> than in long term. This is however is my observation based on the
> coefficients.
>
> Is there any way i can do a test on the regression coefficients and compare
> the coefficients on derivatives..
>
>
> Thanks
> Satyen Dubey
>
>
>
>
> -----
> Thanks & Regards,
>
> Satyen Dubey
> --
> View this message in context: http://statalist.1588530.n2.nabble.com/Comparison-of-Coefficients-on-two-separate-models-with-different-dependent-variables-but-with-same-is-tp7580440.html
> Sent from the Statalist mailing list archive at Nabble.com.
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