I have a longitudinal dataset, so for each company different year observations. The time period of the dataset is 1993 to 2008. I tested a FGLS model on the whole dataset.
Now I want to test the FGLS model on three separate models (1993-1999)-(2000-2002)-(2003-2008).
More specifically I want to compare the regression coefficients of the three models.
So my questions are:
- What would be a appropriate statistical test to compare the coefficients?
- What is the code for the test in stata?