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st: what if no data is available at all


From   "woongtae" <Woong.Chung@colorado.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: what if no data is available at all
Date   Mon, 17 Jul 2006 11:53:10 -0600

Hello.
I would like to run panel regression using firm level annual data such that 
               y=a0+a1x1+a2x2+...
The problem here is that I have no data for x1(firm level),thus I instead, tried to regress x1 on related variables using "industry level" data and use the fitted values to generate x1.

More specifically, 

  1st step: run X1=b0+b1*Z1+b2*Z2+... and find out fitted values of all b's (X1 and all Z's are industry level data, but not annually )

 2nd step: using fitted value b's and firm level data,
find out x1 such that x1=b0hat + b1hat*z1+b2hat*z2
(all z's are firm level annual data,  ) 

 3rd step: run first regression.

It look like generating proxy var. for x1. 
I would like to know if anything wrong this approach under the case that there exist no data or if there are better suggestions.  
  
  WT

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