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st: Fixed effects prediction


From   "Andrea Molinari" <A.Molinari@sussex.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Fixed effects prediction
Date   Mon, 21 Jun 2004 11:58:32 +0100

Dear Statalisters,

I am estimating a Fixed Effects model and then extracting the predicted
fixed effects from there. I know that 'statistically speaking' it is not
possible to extract a sampling variance from a prediction, but I was
wondering whether this is at all possible, or if anyone has come across
anything like that before?
I need this sampling variance to weight the fixed effects into a second
stage...
Thanks very much for any suggestions!
Andrea

Andrea Molinari
DPhil candidate in Economics
University of Sussex
Department of Economics
Arts Building E - office 517
Falmer, Brighton BN1 9SN
United Kingdom

Tel: +44 (0) 1273 - 873538
Fax: +44 (0) 1273 673563


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