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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 * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

-- 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 * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: iterating a regression***From:*tk2130@columbia.edu

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