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Re: st: two stage model variance estimators


From   "Rachel Bouvier" <rbouvier@usm.maine.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: two stage model variance estimators
Date   Fri, 16 Sep 2005 08:04:17 -0400

Hi Clive - The original project was to try and get a "trend" of GDP over
time, with the residuals as the fluctuations around that trend.  Then, I
would use both the trend and the flucuations as regressors in my second
stage model.  Again, this was a few years ago, and I am trying to dust
off the model and see if it makes sense to revisit it.  I know a lot
more now than I did then - I'm going to have to rethink the whole thing.
 I wish I had consulted Statalist then!

Thanks so much.
-Rachel

Rachel Bouvier
Assistant Professor of Economics
University of Southern Maine
11 Chamberlain Avenue
Portland, ME 04104
(207) 228-8377
>>> Clive.Nicholas@newcastle.ac.uk 09/16/05 3:58 AM >>>
Rachel Bouvier wrote:

[...]

> My first model is regressing the log of GDP on the year (ie, 1996) and
> the square of the year (ie, 3984016).  Originally, I ran this model
> separately for 30 countries.  I then obtained the predicted value of
the
> log of GDP for each of those countries (by using -predict-) and used
it
> in a second model.

[...]

Perhaps I've missed something, but I really _don't_ see the logic in
generating a quadratic term from a variable that merely records the
year.
Why not use year dummies instead?

CLIVE NICHOLAS        |t: 0(044)7903 397793
Politics              |e: clive.nicholas@ncl.ac.uk
Newcastle University  |http://www.ncl.ac.uk/geps

Whereever you go and whatever you do, just remember this. No matter how
many like you, admire you, love you or adore you, the number of people
turning up to your funeral will be largely determined by local weather
conditions.

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