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Comparing coefficients accross regressions

Posted: Fri Jan 19, 2018 10:18 am
by oksanakim
Hello Eviews users and moderators

Please assist with the following. Eviews 10: I am estimating two linear equations that have the same explanatory variables, except for one variable that is defined differently for one equation versus another one. I need to test for statistical significance of the coefficients on this differently defined variable across two regressions. The possible solution I came across online is to implement such a test manually using the formula for two coefficients of interest:

his approach is to use the following Z test:

Z=(β1−β2)/square root of[(SEβ1)^2+(SEβ2)^2]

Where SEβ
is the standard error of β.

Is there any way to implement such a testing of equality of coefficients across models in Eviews 10 without manual derivations? Thank you in advance.

Re: Comparing coefficients accross regressions

Posted: Fri Jan 19, 2018 10:33 am
by startz
Set up the equations in a system object.

Re: Comparing coefficients accross regressions

Posted: Fri Jan 19, 2018 10:36 am
by oksanakim
Thanks! Would you suggest setting up an equation via a code or there is some built in algorithm that can estimate a system? How would I test for the equality of coefficients once the system is estimated? Thanks again!

Re: Comparing coefficients accross regressions

Posted: Fri Jan 19, 2018 10:39 am
by startz
Object/New object/System

opens a system object. Look at the help system for info on how to enter the equations in that object.