Tips - Stata: -suest- for comparing regression coefficients between models
I found that 'suest' of Stata is a very useful command for comparing regression coefficients between different (separated) regression models EASILY. The most important, it can deal with complex survey data.
Enjoy!
suest combines the estimation results -- parameter estimates and associated (co)variance matrices -- stored under namelist into one parameter vector and simultaneous (co)variance matrix of the sandwich/robust type. This (co)variance matrix is appropriate even if the estimates were obtained on the same or on overlapping data.
Typical applications of suest are tests for intramodel and cross-model hypotheses using test or testnl, for example, a generalized Hausman specification test. lincom and nlcom may be used after suest to estimate linear combinations and nonlinear functions of coefficients. suest may also be used to adjust a standard VCE for clustering or survey design effects.
Different estimators are allowed, for example, a regress model and a probit model; the only requirement is that predict produce equation-level scores with the score option after an estimation command. The models may be estimated on different samples, due either to explicit if or in selection or to missing values. If weights are applied, the same weights (type and values) should be applied to all models in namelist. The estimators should be estimated without vce(robust) or vce(cluster clustvar) options. suest returns the robust VCE, allows the vce(cluster clustvar) option, and automatically works with results from the svy prefix command (only for vce(linearized)).
Since suest posts its results like a proper estimation command, its results can be stored via estimates store. Moreover, like other estimation commands, suest typed without arguments replays the results.
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