T test

[Helen Chang]

Hi, I want to compare the coefficient on one variable (i.e. IndVar) from the regressions based on two subsamples .

reghdfe DepVar IndVar ControlVar Tone>Median, absorb(sic2 fyear) cluster(gvkey)
reghdfe DepVar IndVar ControlVar Tone<Median, absorb(sic2 fyear) cluster(gvkey)

I used the following code but it does not allow me to add the absorb and cluster functions when conducting the t-test.

reghdfe DepVar IndVar ControlVar Tone>Median, absorb(sic2 fyear) cluster(gvkey)
est store m1
reghdfe DepVar IndVar ControlVar Tone<Median, absorb(sic2 fyear) cluster(gvkey)
est store m2
suest m1 m2
test [m1_mean]IndVar = [m2_mean]IndVar

Anyone knows how to solve this problem? Or is there other easier way to compare the coefficient on one variable from the regressions based on two subsamples?

[Maarten Buis]

gen byte largetone = Tone > Median if Tone < .
reghdfe DepVar i.largetone##(c.IndVar c.ControlVar) , absorb(sic2 fyear) cluster(gvkey)

The test reported next to the interaction term between 1.largetone and lndVar is the test you are looking for.

[Helen Chang]

Thanks for the response!
Just a few follow up questions.

1. As an alternative method, can I use the following regression and look at the coefficient of the interaction term?
reghdfe DepVar i.largetone (or any indicator variable used to identify subgroups)##c.IndVar ControlVar, absorb(sic2 fyear) cluster(gvkey)
Does this regression aim to achieve different goals compared to the one you mentioned?


2. If I want to run subsample regressions separately, such as the models below:
reghdfe DepVar IndVar ControlVar if tone>median_tone, absorb(sic2 fyear) cluster(gvkey)
reghdfe DepVar IndVar ControlVar if tone<median_tone, absorb(sic2 fyear) cluster(gvkey) Do I need to put the variable, tone, in these regressions as a control variable?