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st: iterating a regression


From   tk2130@columbia.edu
To   statalist@hsphsun2.harvard.edu
Subject   st: iterating a regression
Date   Wed, 2 Mar 2005 08:12:13 -0500

   Dear All,
   How can I iterate a regression by feeding back back some
parameter estimates at each step back into one of the regressors in
the regression? Should I use foreach forval commands?

To be specific: I have an equation y=a+b1*x1+b2*x2+c1*z+error

but z=b1*w1+b2*w2 (for some variables w1, w2)

I start with some initial z and estimate the above equation then
compute the new z with the b1 b2 estimates from the regression
output and run the regression again with this new z. I want to
iterate this until convergence is obtained. Does anyone know how to
carry out this procedure? Thank you in advance for any comments and
help.

   Tumer Kapan
   PhD Student
   Economics Department
   Columbia University

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