Comparison of Coefficients on two separate models with different dependent variables but with same independent variables
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I have two dependent variables that are both measured on the same scale. They measures firms probability of default. One measure is for 1-year Probability of default (1PDF) and the other is for 5-year Probability of default (5PDF). One of my main independent variable is firms use of derivatives and negative coefficient on it will show that firms use of derivatives lowers its probability of default.
I run my regression as follow.
reg 1PDF derivatives x y z..............(1 Model)
reg 5PDF derivatives x y z..............(2 Model)
both of these equations are same except for the dependent variable.
The reason i want to compare the coefficients is that for 1PDF my coefficient on derivatives is larger in absolute term than the one i find on 5PDF. These indicates that derivatives use is more effective in short term than in long term. This is however is my observation based on the coefficients.
Is there any way i can do a test on the regression coefficients and compare the coefficients on derivatives..