Help with test for dummy significance

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econometricsnoob
Posts: 1
Joined: Sat Feb 25, 2012 7:17 am

Help with test for dummy significance

Postby econometricsnoob » Sat Feb 25, 2012 7:25 am

Hello,

I am fairly new to econometrics and have an assignment that I would like some clarification with.

My regression involves regressing wage on various variables including dummy variables for white, black and asian. I have run separate regressions using subsamples for specific races so far.

I am then asked to suggest a model that allows one to test the nul hypothesis of coefficient constancy across the three subsamples and carry out
the test using the appropriate F statistic.


I think this is the correct strategy, however I would greatly appreciate if someone could clarify this:

1. Run the regression of y on all of the independent variables and 2 of the races (to avoid dummy variable trap)
2. Run the regression of y on all of the indepedent variables apart from the races.

Do an F test for joint restrictions using SSRr, SSRur or R^2 restricted and R^2 unrestricted.

I would greatly appreciate if someone could let me know if this is the correct method!

Thanks

startz
Non-normality and collinearity are NOT problems!
Posts: 3798
Joined: Wed Sep 17, 2008 2:25 pm

Re: Help with test for dummy significance

Postby startz » Sat Feb 25, 2012 8:40 am

You got it right.


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