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Re: st: two stage model variance estimators


From   Robert Duval <rduval@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: two stage model variance estimators
Date   Tue, 13 Sep 2005 16:50:28 -0400

a possible solution could be to run in a single model  the equation 

 (1) y = b1 x + b2 xsq

interacting your x's with country specific dummies.

In other words, you could run a fully interactive model which is
equivalent to running 30 different regressions but in a single
equation. (make sure you include the country specific dummies too that
would account for the constant in your separate regressions and
specify the nocons option).

hope this helps.
robert


On 9/13/05, Rachel Bouvier <rbouvier@usm.maine.edu> wrote:
> Dear statalisters *
> 
> I am confronting a problem much like that described by James Hardin in volume 2, issue 3 of the Stata Journal, "The robust variance estimator for two-stage models," where he gave an illustration of Stata code to construct the Murphy-Topel variance estimator.
> 
> I am using a variable (call it yhat), predicted in a first (series of) equations, as a regressor in my second equation.
> 
> In other words, my first (series of) regressions looked like this:
> (1) y = b1 x + b2 xsq
> 
> Then, I predicted yhat from that regression, and used that in a second regression:
> (2) z = b1 yhat + b2 x2 + b2 x3*
> 
> I say "series of" regressions because I have a panel of 30 countries.  Rather than run one panel data regression and predict each country's yhat from that, I ran each country as a separate regression, not wanting to assume that they could be pooled.  In other words, I ran equation (1) 30 different times, for each country in the dataset.  (It seemed to make sense at the time, to both me and my committee!)
> 
> Therein lies my problem.  I would like to adjust the standard errors for the fact that I predicted yhat, but as I ran a different regression for each country, the solution is not as easy as constructing the Murphy-Topel estimator.  Does anyone have any suggestions? Any help would be much appreciated, before I dive into something that is undoubtedly over my head.  Thanks.
> 
> 
> Rachel Bouvier
> Assistant Professor of Economics
> University of Southern Maine
> 11 Chamberlain Avenue
> Portland, ME 04104
> (207) 228-8377
> 
> 
> *
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>

*
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