Inference from sample splits when coefficients are not significant (Panel Data)

#1
Hi,

I’m new to this forum and have got a little stata problem.

Status Quo:

I use panel data and a fixed effects model. My independent variable is negative and statistically significant over the whole sample.

To test a theory I split the sample in two halves (A+B). Theory predicts that the independent variable will be more negative for sub-sample A than for sub-sample B. That’s why I executed the regressions for both sub-samples and compared the coefficients.

Problem:

The coefficient is only statistically significant for sample A, but not for sample B. :mad:

Questions:

  1. What does this result tell me about the theory (Nothing, I assume). :confused:
  2. I was wondering whether there is another way to test the theory. Is there something like a paired t-test for regression coefficients?

Cheers,

Hape
 

bukharin

RoboStataRaptor
#2
This sounds like an interaction - your hypothesis is that the effect of your independent variable is lower in sample A, which you can test with an interaction between the independent variable and the sample.
 
#3
Thanks for you quick reply!.

How can I implement this in stata? Until now I used the "xreg dependentvariable independentvariable controllvariables, fe" command.

Cheers