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Re: st: two stage model variance estimators
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.
On 9/13/05, Rachel Bouvier <email@example.com> 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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