[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
"Rachel Bouvier" <rbouvier@usm.maine.edu> |

To |
<rduval@gmail.com>, <statalist@hsphsun2.harvard.edu> |

Subject |
Re: st: two stage model variance estimators |

Date |
Tue, 13 Sep 2005 17:04:54 -0400 |

Thank you! I will try that. -R Rachel Bouvier Assistant Professor of Economics University of Southern Maine 11 Chamberlain Avenue Portland, ME 04104 (207) 228-8377 >>> rduval@gmail.com 09/13/05 4:50 PM >>> 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 > > > * > * 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/ > * * 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/ * * 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/

- Prev by Date:
**st: RE: Re: setting memory on network stata on Windows XP** - Next by Date:
**RE: st: RE: Marginal effects after ivprobit** - Previous by thread:
**Re: st: two stage model variance estimators** - Next by thread:
**Re: st: two stage model variance estimators** - Index(es):

© Copyright 1996–2016 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |