Testing equality of difference in coefficients from four regressions

Asked May 30 '19 at 19:49

Active May 30 '19 at 19:49

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This question is a follow-up/extension to this post.

Suppose I have four regressions.

$y_i=x_i\beta_i+\epsilon_i,\quad i=1,2,3,4$

I want to test whether $(\beta_1-\beta_2)-(\beta_3-\beta_4)>0$. Can I use the following z-test?

$z=\frac{(\beta_1-\beta_2)-(\beta_3-\beta_4)}{\sqrt{SE\beta_1^2+SE\beta_2^2+SE\beta_3^2+SE\beta_4^2}}$.

Many thanks!

asked May 30 '19 at 19:49

X. Shi

Are the responses in the four regressions independent? – whuber May 30 '19 at 19:59
1

@whuber yes they are. – X. Shi May 30 '19 at 20:14
Please edit your question to add this essential information. – Glen_b May 31 '19 at 00:46

0 Answers0