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Re: st: iterating a regression


From   "Hans J. Baumgartner" <hbaumgartner@diw.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: iterating a regression
Date   Wed, 02 Mar 2005 16:01:04 +0100

Hi,

I am not sure what you are trying to estimate but I guess the potential correlation between your two estimations will cause a problem.

Are you willing to restrict cj to a certain value? If yes, you could estimate

y=a+b1(x1+c1w1)+b2(x2+c2w2).

That is, inserting the second equation and multiplying out. In the new equation, only bj is estimated; cj is set, i.e. restricted.

Hans


tk2130@columbia.edu schrieb:


   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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--
Hans J. Baumgartner DIW Berlin
German Institute for Economic Research
Dept. Public Economics
Königin-Luise-Str. 5; 14195 Berlin; Germany
Tel.: +49/30/89789-307
Fax.: +49/30/89789-114
http://www.diw.de
http://www.hansbaumgartner.de


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