As I am seeing more papers trying to do so (as well as discussions about strategies on how to do so), I thought links to a recent StataList discussion as well as some web-based resources might be of general interest. The basic set-up follows:
Model A: Y = α1 + β1X1 + Σθ∙C + firm-fixed effect + year-fixed effect.
Model B: Y = α1 + β2X2 + Σθ∙C + firm-fixed effect + year-fixed effect.
Σθ∙C is list of control variables and are the same for both model A & B.
Question: How to compare the coefficients of β1 and β2?
One approach exploits a post-estimation command in Stata (suest), and then compares means with test (for a discussion and illustration, click here). Another illustrated example, courtesy of the UCLA Statistical Methods and Data Analytics site, is here.
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