Monday, February 27, 2006

st: RE: Sub samples

-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*

Scott

> -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu [mailto:owner- > statalist@hsphsun2.harvard.edu] On Behalf Of Jean.Imbs@unil.ch > Sent: Monday, February 27, 2006 6:06 AM > To: statalist@hsphsun2.harvard.edu > Subject: st: Sub samples > > I sent this to no avail a couple of days back. Hopefully, I had no answer > because it's an obvious question - not because there's no answer... > I'm trying to test significant differences for a coefficient estimate > between two sub-samples. Each sub sample is estimated using xtreg, fe. > That prevents me from using "suest" to run my test. What are the > alternatives? > Much obliged - J >

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