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


From   Woong.Chung@colorado.edu
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Asymptotic variance adjustment for OLS with generated regressors
Date   Thu, 31 Aug 2006 09:39:21 -0600

Well,first of all, thanks for the comment. but the discussions were about
heteroscedasticity-consistent standard errors. but mine is different:

 consider Y=B0+B1X+U and X=a0+a1Z+Q   (1)

If we plug q into the equation for Y, then we got
Y=(b0+B1a0)+b1a1Z+B1Q+U=  k0+k1Z+B1Q+U  (2)




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