Areg - Comparing coefficients of two models with different dependent variables

[Iris Janssen]

Hi all,

I have panel data consisting of 8 years and over 1000 of industries.

I test the following:

areg DVdummy1 lagIV1 lagIV2 lagIV3, absorb (YEAR)

areg DVdummy2 lagIV1 lagIV2 lagIV3, absorb (YEAR)

DVdummy1 shows if there was a strategy1 deal in a certain industry in a year.
DVdummy2 shows if there was a strategy2 deal in a certain industry in a year.
Sometimes there are both strategy1 and strategy2 deals in a certain industry in a specific year.
I include year-fixed effects, specified with ,absorb (YEAR).

I want to test if the coefficients of lagIV1, lagIV2 and lagIV3 are significantly different in both models.
Suest is not applicable to areg. What other method can I use?

Is it possible to do the following:

I have a variable that combines year and industry (year_industry).

rename DVdummy1 y1
rename DVdummy2 y2
reshape long y, I(year_industry) j(subscript)
areg y i.subscript##(c.lagIV1 c.lagIV2 c.lagIV3 i.Year)

I also test:

areg DV1 lagIV1 lagIV2 lagIV3, absorb (YEAR)
areg DV2 lagIV1 lagIV2 lagIV3, absorb (YEAR)

In this case the dependent variable is the natural logarithm of the strategy1 or strategy2 number of deals.

Is it then still possible to do the following?

rename DV1 y1
rename DV2 y2
reshape long y, I(year_industry) j(subscript)
areg y i.subscript##(c.lagIV1 c.lagIV2 c.lagIV3 i.Year)

Thank you very much in advance for your help.

Kind regards,

Iris

[Clyde Schechter]

This is essentially the same question asked and answered at https://www.statalist.org/forums/for...ork-with-xtreg.