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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   Wed, 14 Sep 2005 19:55:19 -0400

it would actually help if you could sent your commands to the list so
that we see what's going on,
best
robert

On 9/14/05, Rachel Bouvier <rbouvier@usm.maine.edu> wrote:
> Hi again.  I tried interacting my xs with country specific dummies and
> running them in a single equation as suggested.  Stata is dropping the
> country dummies, even though I specify the nocons option.  (I remember
> now that this was why I had originally run it in 30 different equations
> - it works fine that way,  but not if I put them all into one equation.)
>  Am I doing something wrong?  It could be because xsq is the square of
> x, but I don't understand why stata would let me do it for an individual
> country but not together.  Sorry for being obtuse.  -Rachel
> 
> >>> 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.
> >
> >
> >
> > *
> > *   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/
>

*
*   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/



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