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st: panel data and estimated variables


From   "Rachel Bouvier" <rbouvier@usm.maine.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: panel data and estimated variables
Date   Sun, 28 Aug 2005 14:39:22 -0400

Hi statalisters - 

I am using an unbalanced panel data set, with one of the variables
estimated from a previous equation.  It's not a 2 stage least square
model (since not all the variables are used in the first stage),
although it's similar.  I need to correct the standard errors for the
fact that the variable was estimated.  There is a FAQ for that situation
for a straight up regression, but I'm not quite sure how to correct the
standard errors for panel data in that situation.  Any help would be
appreciated .  Thanks.  -Rachel

Rachel Bouvier
Assistant Professor of Economics
University of Southern Maine
11 Chamberlain Avenue
Portland, ME 04104
(207) 228-8377
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