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4:55 PM
@hxd1011 Separate linear regressions will result in different estimates of the variance of the error terms. A single regression with an interaction will produce a single ("pooled") estimate of the error terms. In so doing, it's likely to produce slightly different coefficient estimates, too. Thus, your choice of how to proceed should be determined in large part by your assumptions about homoscedasticity and any evidence to the contrary.
It's really just a generalization of the distinction between t-tests assuming equal or unequal variances.
 
5:40 PM
@whuber thanks for educating me all the time !
 

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