A Chow test is simply a test of whether the coefficients estimated over one group of the data are equal to the coefficients estimated over another.

I find two useful articles from Stata’s official website:

Can you explain Chow tests?

How can I compute the Chow test statistic?

Suppose we do following regressions separately in two groups:

`regress y x1 x2 if group==1`

and `regress y x1 x2 if group==2`

Then following commands will test the equality of coefficients on `x1`

and `x2`

:

`ge g2=(group==2)`

`regress y c.x1##i.g2 c.x2##i.g2`

`contrast g2 g2#c.x1 g2#c.x2, overall`

Stata’s official website gives an example of the output:

In this example, to test the equality of coefficients on `x1`

and `x2`

, 6.06 and 2.80 are the F-stats that we are looking for.

Quick question. Can this be used when fixed effects are included in the regression of each group? Thanks.

I think it can. I did find the command quite flexible. Try i.factor##i.g2, it may work.

Thanks. I used to add dummies and interact with every variable in order to test the difference in coefficients between groups, which was quite cumbersome.

What if I just want to test the coefficient on x1?