Significance on the difference in the coefficients with fixed effects

[Kelly Ha]

I have a multiple regression equation with year and industry fixed effect as below.

y = x1 + D + x1*D + FE + error (x1 is continuous and D is binary)

and I have another dummy variable (let's say, Z = 0 or 1).

What I want to see is if the coefficients on x1*D are statistically significantly different for the subsample Z =1 and Z=0.



What I have tried is 3-way interaction (x1*D*Z). However, because of fixed effects, the difference in the coefficient on x1*D from separate regression for Z=0 and Z=1 is not the same as the coefficient on 3-way interaction. (Separate regression allows the error term to vary separately whereas 3-way interaction multiple regression does not)



In the end, what I want is 3 columns with the coefficients for Z=0, Z=1, and the difference. Is there some type of test in STATA where I can achieve this?

[Phil Bromiley]

You'll increase your chances of a useful answer by following the FAQ on asking questions – provide Stata code in code delimiters, readable Stata output, and sample data using dataex.

It is very seldom the case that you cannot replicate the two regressions with one regression with appropriate interactions. But without exactly what you've done it is hard to know. You can use sureg with dummies for industry fixed effects.