Any hint on this issue would be really welcome: The goal is to employ a two-country comparison analysis. When running two separate OLS regressions, one for each country, the coefficient of variable x is statistically insignificant in country1 regression (Ho:b1=0 is not rejected), while the coefficient of the same variable x is statistically significant in country2 regression (Ho: b2=0 is rejected).
Afterward, I run a joint model by including a country dummy (country1=1 for country1, and country1=0 for country2) and an interaction term: inter=x*country1. The coefficient of the interaction term appears to be positive and statistically significant, implying that the effect of variable x is greater in country1 than in country2.
So, I am wondering whether there is any statistical explanation for this contradictory result; the separate regression analysis showed that the effect of variable x is insignificant in country 1 and significant in country2, but the joint model analysis showed that the effect of variable x is greater in country 1 than country2...
Thanks a lot!