Comparing coefficients of two fixed effect panel data regressions

[Vincent v]

I am trying to compare the coefficients of two panel data regressions with the same dependent variable. In Stata i use these commands for the regressions

xtreg y1 x i.z xtreg y2 x i.z I want to check whether the βs are significantly different.
With two regular regressions I would use something like the following code in Stata to test a cross-equation restriction:

sureg (y1 x ) (y2 x ) lincom [y1]x - [y2]x However Stata is explaining that this is not possible when I try to use xtreg.
I have searched a lot of different sites. However I do not have a clue, hopefully you guys can help.

[Phil Bromiley]

I assume the panels are the same. One work around would be to stack y1 and y2 into a new dv. Then dummy out the x's so you get different parameter values for the region of y1 and y2. You'll also want to set up a new panel structure so you have separate panels for the y1 part of the new dv and the y2 part. If you don't want to impose the assumption that your error variances are constant across y1 and y2, you might need to allow for heterogeneity. Anyway, with this, you can just test the b's.

[Fredwin Jansen]

I am trying to compare the coefficients of two panel data regressions with the same dependent variable. In Stata i use these commands for the regressions

xtreg y1 x i.z xtreg y2 x i.z I want to check whether the βs are significantly different.
With two regular regressions I would use something like the following code in Stata to test a cross-equation restriction:

sureg (y1 x ) (y2 x ) lincom [y1]x - [y2]x However Stata is explaining that this is not possible when I try to use xtreg.
I have searched a lot of different sites. However I do not have a clue, hopefully you guys can help.

Hey Vincet, I know it is an old post already, but did you find the answer already? I am very curious, since I have a similar problem.

[Nick Cox]

Fredwin:

1. Much of the point of the forum is that answers as well as questions are public. What you see are the answers to date. Why you are ignoring @Phil Bromiley's suggestion is unclear.

2. If you click on Vincent v's details you will see that he has not been active in the forum since August 2014, so no mention from you is likely to reach him in any case.