Code:
webuse grunfeld, clear gen ind = company > 5 /* xtreg invest mvalue kstock if ind == 0, fe robust xtreg invest mvalue kstock if ind == 1, fe robust */ reghdfe invest i.ind#c.(mvalue kstock), a(company) vce(cl company)
Code:
. reghdfe invest i.ind#c.(mvalue kstock), a(company) vce(cl company)
(MWFE estimator converged in 1 iterations)
HDFE Linear regression Number of obs = 200
Absorbing 1 HDFE group F( 4, 9) = 41.89
Statistics robust to heteroskedasticity Prob > F = 0.0000
R-squared = 0.9477
Adj R-squared = 0.9440
Within R-sq. = 0.7818
Number of clusters (company) = 10 Root MSE = 51.3071
(Std. Err. adjusted for 10 clusters in company)
------------------------------------------------------------------------------
| Robust
invest | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
ind#c.mvalue |
0 | .1149211 .0145496 7.90 0.000 .0820076 .1478346
1 | .0826851 .026561 3.11 0.012 .0226001 .1427702
|
ind#c.kstock |
0 | .3211845 .0487084 6.59 0.000 .2109984 .4313706
1 | .1144632 .0133046 8.60 0.000 .0843661 .1445602
|
_cons | -44.98113 20.41833 -2.20 0.055 -91.1706 1.208344
------------------------------------------------------------------------------
Absorbed degrees of freedom:
-----------------------------------------------------+
Absorbed FE | Categories - Redundant = Num. Coefs |
-------------+---------------------------------------|
company | 10 10 0 *|
-----------------------------------------------------+
* = FE nested within cluster; treated as redundant for DoF computation
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