I have a set of observations. When I do an OLS I get a $\beta$. After I remove some values I also get a $\beta$. Now I want to test if the properties of two betas are the same? Please give me a hint how to do that?

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    $\begingroup$ I think this is gonna help you. An maybe this too. $\endgroup$ May 23 '13 at 8:46

What exactly are you trying to find out? One way to approach this would be to look at the problem differently: Simply add a predictor (0 for regular observations, 1 for observations you would remove) and estimate/test the interaction between this new predictor and the other term of interest.


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