Stata command to perform Chow test

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.

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3 Responses to Stata command to perform Chow test

  1. Victor says:

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

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