Monday, February 27, 2006

Re: st: sub samples

but isn't there a constraint there that the fixed effects have the same coefficients in both samples?

----Message d'origine---- >A: statalist@hsphsun2.harvard.edu >De: Kit Baum <baum@bc.edu> >Sujet: st: sub samples >Date: Mon, 27 Feb 2006 11:24:29 -0500 > >Jean said > >"Thanks Scott - though using an interaction term as your code (I >think) implies forces the coefficients on all covariates to be the >same across samples. I actually would want not to do that. > > >----Message d'origine---- > >De: "Scott Merryman" <smerryman@kc.rr.com> > >A: <statalist@hsphsun2.harvard.edu> > >Sujet: st: RE: Sub samples > >Date: Mon, 27 Feb 2006 09:21:13 -0600 > > > >-findit chow- points to several FAQ by William Gould that will be of > >interest. > > > >Here is an example testing if the estimated coefficients for the >postwar > >years differ. > > > >webuse grunfeld, clear > > > >gen byte postwar_years = year >1945 > > > >foreach var of varlist mvalue kstock { > > gen post_`var' = postwar_years*`var' > > } > > > >xtreg invest mvalue kstock post* ,fe > >testparm post*" > > >Obviously not. The whole point of allowing for interactions between >all regressors (including the constant) and the regime dummy is to >allow the coefficients on all variables to differ after 1945, as is >evident if you run the example Scott has provided. The only >restriction you are imposing in this pooled context is that you are >assuming that there is homoskedasticity across the subsamples. You >can deal with this by modifying the estimation command to > >xtreg invest mvalue kstock post* ,fe robust > >which should also 'robustify' the testparm F-statistic, if I'm not >mistaken. > > >Kit Baum, Boston College Economics >http://ideas.repec.org/e/pba1.html > > >* >* For searches and help try: >* http://www.stata.com/support/faqs/res/findit.html >* http://www.stata.com/support/statalist/faq >* http://www.ats.ucla.edu/stat/stata/ > >

* * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/


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