On 8 Oct 2003 05:33:16 -0700, [EMAIL PROTECTED] wrote: > Hello, > > Given the data of two sectors, I estimated a non-linear model and I got the > coefficients of both sectors. Let say that the coefficient of the model in > the first sector is a1 and b1 and second sector a2 and b2. Is there any way to > test the difference between b1 and b2 or to test whether b1-b2=0 or not. Your > help is highly appreciated. >
You name four parameters, above. The conventional solution is to pool the data and fit just two parameters; then you compare the fit with 2 to the fit with 4 (or the sum of the two fittings, each done with 2). Or, might think of this as having 3, as another model. In OLS, the residual has a different Sum of Squares, and degrees of freedom, depending on the model. You define an F-test by subtraction It works rather similarly for Maximum Likelihood models, where the difference is log-likelihoods (times minus 2) is tested by chisquared, with d.f. determined by the difference in the number of parameters. It is pretty simple to set up with dummy variables, for linear models and ordinary least squares. try Judd and McClelland, "Data analysis, a model comparison approach." -- Rich Ulrich, [EMAIL PROTECTED] http://www.pitt.edu/~wpilib/index.html "Taxes are the price we pay for civilization." . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
