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Stacked linear regression analysis to facilitate testing of hypotheses across OLS regressions

Author

Listed:
  • Michael Oberfichtner

    (Institute for Employment Research (IAB))

  • Harald Tauchmann

    (University of Erlangen-Nuremberg (FAU))

Abstract
In empirical work, researchers frequently test hypotheses of parallel form in several regressions, which raises concerns about multiple testing. One way to address the multiple-testing issue is to jointly test the hypotheses (for exam- ple, Pei, Pischke, and Schwandt [2019, Journal of Business & Economic Statis- tics 37: 205–216] and Lee and Lemieux [2010, Journal of Economic Literature 48: 281–355]). While the existing commands suest (Weesie, 1999, Stata Tech- nical Bulletin Reprints 9: 231–248) and mvreg enable Stata users to follow this approach, both are limited in several dimensions. For instance, mvreg assumes homoskedasticity and uncorrelatedness across sampling units, and neither com- mand is designed to be used with panel data. In this article, we introduce the new community-contributed command stackreg, which overcomes the aforemen- tioned limitations and allows for some settings and features that go beyond the capabilities of the existing commands. To achieve this, stackreg runs an ordinary least-squares regression in which the regression equations are stacked as described, for instance, in Wooldridge (2010, Econometric Analysis of Cross Section and Panel Data, p. 166–173, MIT Press) and applies cluster–robust variance–covariance esti- mation.

Suggested Citation

  • Michael Oberfichtner & Harald Tauchmann, 2021. "Stacked linear regression analysis to facilitate testing of hypotheses across OLS regressions," Stata Journal, StataCorp LP, vol. 21(2), pages 411-429, June.
    • Handle: RePEc:tsj:stataj:v:21:y:2021:i:2:p:411-429
    DOI: 10.1177/1536867X211025801
    Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj21-2/st0641/
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    Citations

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    Cited by:

    1. Rodolphe Desbordes, 2022. "Financial foreign direct investment and the economic performance of developing countries," Review of International Economics, Wiley Blackwell, vol. 30(4), pages 1229-1257, September.
    2. Mathias Huebener & Jonas Jessen & Daniel Kuehnle & Michael Oberfichtner, 2022. "Parental Leave, Worker Substitutability, and Firms' Employment," Berlin School of Economics Discussion Papers 0007, Berlin School of Economics.

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