Let me quote from my own old message sent to sci.stat.math:
The appropriate method is given by using dummy (0 / 1)
variables in regression.
If added constructed variables are not significant then
coefficients are the same (statistically).
If you test for *all* coefficients then this method will
give you Chow test.
Some references:
Pagan, A.R., and D.F.Nicholls. "Estimating Predictions,
Prediction Errors
and Their Standard Deviations Using Constructed Variables,"
Journal of Econometrics, 24 (1984), 293-310.
Chow, G.C. "Tests of Equality between Sets of Coefficients
in Two Linear Regressions," Econometrica, 28 (1960),
591-605.
A. Tsyplakov
Novosibirsk State University
rjkim <[EMAIL PROTECTED]> wrote in message
8rsema$56s$[EMAIL PROTECTED]">news:8rsema$56s$[EMAIL PROTECTED]...
> Hello,
>
> I am looking for a formula that does the comparison
between two betas (from
> two multiple regression equations). Both the equations
have the same
> configuration. And I want to conduct a significant test
for the difference
> between the betas. Any hint will be greatly appreciated.
>
> Thanks in advance.
>
> June Rhee
>
>
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