Testing the equality of coefficients across models

[Boyan Peng]

Dear all,
I'm running a threshold regression in Stata 15.
Here are my codes:

1. sort fen year week
2. bys fen:gen i=_n
3. xtset fen i,weekly
4. threshold DV if fen==1,threshvars(L.mar_return) regionvars(L.DV L.mar_return)
5. threshold DV if fen==2,threshvars(L.mar_return) regionvars(L.DV L.mar_return)

while fen vary from 1 to 6,dividing my samples into six groups

If I want to test the equality of coefficients of L.mar_return between fen==1 and fen==2, how can I do that? I've already tried the command -suest-, but Stata reports that "unable to generate scores for model fen1"

[Phil Bromiley]

This may result in assumptions you don't want but you probably can use factor variable notation to estimate all the parameters in one threshold model.