I am trying to compare the coefficients of two panel data regressions with the same dependent variable. What I am aiming at is the following:
y1 = c + β x
y2 = c + β x
In Stata
xtreg y1 x i.z
xtreg y2 x i.z
I want to check whether the βs are significantly different.
With two regular regressions I would use something like the following code in Stata to test a cross-equation restriction:
sureg (y1 x ) (y2 x )
lincom [y1]x - [y2]x
However Stata is explaining that this is not possible when I try to use xtreg
.
I have searched a lot of different sites. However I do not have a clue, it only made me more confused. Hopefully you guys can help.
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I am using a Fixed effect models