Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: Asymptotic variance adjustment for OLS with generated regressors


From   "Stas Kolenikov" <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Asymptotic variance adjustment for OLS with generated regressors
Date   Thu, 31 Aug 2006 09:07:30 -0500

There's been a discussion on the list about a week ago about two-stage
estimation and correction of the variance estimates. Please look it
up.

On 8/30/06, Woong.Chung@colorado.edu <Woong.Chung@colorado.edu> wrote:
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
*
*   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/


--
Stas Kolenikov
http://stas.kolenikov.name
*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index