求教：如何比较不同方法估计出来的系数是否显著差异？

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Y = a X1 + b X2 + c X3 + e

同一套数据，采用不同方法估计，得到不同的估计系数。

怎么比较两种方法估计的系数，是否显著不同？

Stata中命令是什么？

Thanks

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关键词：thanks Thank Stata Than tata 如何

using the same model but different way to estimate? not sure if it's proper, you have two coefficient matrices (B1 and B2) and two variance matrices for the coefficients (V1 and V2), so use

(B1-B2)'*(B1-B2)/(V1+V2)

as a chi-square test with df = the dimension of V1?

respond to my answer: there can be problem, since the same sample or data is used to fit the same model, there are some covariance between B1 and B2, I don't know how to capture the covariance, if we know the covariance, we can use (B1-B2)'*(B1-B2)/(V1+V2+COV) as a chi-square test with unknown df (because of covariance).  Not sure if there is an easy way out.

jjjj6666 发表于 2014-2-14 05:22
respond to my answer: there can be problem, since the same sample or data is used to fit the same mo ...

Thank you.
It becomes much clear for me.

no problem.  one way is to us (B1-B2)'*(B1-B2)/(V1+V2) as an approximate, another way is to estimate the covariance and the df of the chi-square (maybe using bootstrap?).