biastest: Testing parameter equality across different models in Stata

TL;DR

biastest is a Stata command that facilitates comparison of coefficients across various regression models, aiding researchers in evaluating model robustness and consistency.

Contribution

The paper introduces the biastest command in Stata, a new tool for testing parameter equality across different models, enhancing model comparison capabilities.

Findings

Enables comparison of OLS and robust regression coefficients

Supports evaluation of fixed vs. random effects models

Provides both variable-specific and joint tests

Abstract

The biastest command in Stata is a powerful and user-friendly tool designed to compare the coefficients of different regression models, enabling researchers to assess the robustness and consistency of their empirical findings. This command is particularly valuable for evaluating alternative modeling approaches, such as ordinary least squares versus robust regression, robust regression versus median regression, quantile regression across different quantiles, and fixed effects versus random effects models in panel data analysis. By providing both variable-specific and joint tests, biastest command offers a comprehensive framework for detecting bias or significant differences in model estimates, ensuring that researchers can make informed decisions about model selection and interpretation.