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st: Asymptotic variance adjustment for OLS with generated regressors


From   Woong.Chung@colorado.edu
To   statalist@hsphsun2.harvard.edu
Subject   st: Asymptotic variance adjustment for OLS with generated regressors
Date   Wed, 30 Aug 2006 19:37:21 -0600

I attempted OLS estimation when one of the regressors has been estimated from a
first stage procedure(generated regressor)

  Y=c0+ c1X1+c2x2+...+rq(hat)+e : q(hat) is a generated regressor for my case

       from q=a0+a1z1+a2z2 +........

According to the reference(Woodridge), an adjustment is needed for the
asymptotic variance of all OLS estimators.
I just want to know how implemented this adjustment at STATA. Besides, I want to
know whether rreg(robust regression) is applied to OLS with generated regressor

Any comments and suggestion are welcomed.

Thanks

WT
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