Chow test in stata

0
votes

I have two panel regressions:

xtreg A b1 c1 d1, fe vce (robust)
xtreg A b2 c2 d2, fe vce (robust)

And I'd like to test if b1=b2, c1=c2 and d1=d2 I couldn't find Chow test among Stata postestimation tests. Seems one has to calculate it manually. However, the formula of Chow test requires Residual SS, which is not reported after xtreg command. Can I use between or within R-sq instead?

I have also considered testparmcommand, but it accounts only coefficients of the last estimation. In my case they are coefficients of b2, c2, d2. So, maybe there is an opportunity to specify an equation and compare coefficients from different regressions?

Or is there any other option I haven't considered?

1
statalinear-regressionpanel-data
This link and this link might be helpful. – Cleb
Thanks, but that seems to be reg command, which is clear to me. I'm looking for the same hint for the xtreg. – glarys

1 Answers

0
votes

Assuming that your models are nested you can analyze them using one regression:

xtreg A b1 c1 d1 b2 c2 d2, fe vce (robust)

Then you can test the coefficients by doing:

testparm b1 c1 d1 b2 c2 d2