Thank you!
How large is large sample?
What about 50 data points in D1 and another 50 data points in D2?
Thanks a lot!
On Wed, Mar 14, 2012 at 11:49 AM, peter dalgaard wrote:
>
> On Mar 14, 2012, at 16:21 , Michael wrote:
>
> > How to test the statistical significance of the difference of two
> > univariate Linear Regression betas?
> >
> > Hi all,
> >
> > There are two samples of data: D1 and D2.
> >
> > On data D1 we do a univariate Linear Regression and get the coefficient
> > beta1.
> >
> > On data D2 we do a univariate Linear Regression and get the coefficient
> > beta2.
> >
> > How do I test the statistical significance of (beta1-beta2)?
> >
> > Could you please recommend packages/commands in R for doing this?
>
> Well, the large-sample test would be to calculate the se of the difference
> as
>
> se <- sqrt(se1^2+se2^2)
>
> and then Z <- (beta1-beta2)/se; 2*pnorm(-abs(Z)).
>
> For small samples you might consider joining the two data sets and test
> for an interaction between your predictor and an indicator for D1 or D2.
> Other options are possible, if you know a bit of theory.
>
> >
> > Thanks a lot!
> >
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> >
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>
> --
> Peter Dalgaard, Professor,
> Center for Statistics, Copenhagen Business School
> Solbjerg Plads 3, 2000 Frederiksberg, Denmark
> Phone: (+45)38153501
> Email: pd.mes@cbs.dk Priv: PDalgd@gmail.com
>
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