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, [email protected] <[email protected]> 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
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--
Stas Kolenikov
http://stas.kolenikov.name
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