This is a re-posting of a posting sent only yesterday.
That is not to say that someone else may not answer it, but
others may share my reaction that really useful comment is
impossible on a question of this kind.
It's your project; I might well do something
similar in your circumstances; but you do have a problem.
But you know that already.
Re-posts are explicitly discouraged in the FAQ: Woong
Chung, and several others who are just re-posting messages,
please do read what the FAQ has to say on this point:
4. What to do if you do not get an answer
http://www.stata.com/support/faqs/res/statalist.html#noanswer
Nick
[email protected]
[email protected]
> 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.
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