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Re: st: RE: RE: Standard Errors


From   "Ingo Brooks" <ingo.brooks@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: RE: Standard Errors
Date   Tue, 28 Nov 2006 14:16:26 +0100

Yuksel,

What you do seems to me to be the traditional Fama-MacBeth procedure
which is often applied in empirical finance. Daniel Hoechle recently
posted an -xtfmb- procedure which might be interesting for your
purpose. In Stata type -net search xtfmb-.

I hope this helps.

Best,
Ingo



On 11/28/06, ventura@37.com <ventura@37.com> wrote:
I very much appreciate the information, and I will keep that in mind. However, what i need to do in my current work is to take the three year average of OLS coefficients of the same regressor and find some standard error for that. My command of statistics is not great, so the answer might be simpler than you think.

--- M.Buis@fsw.vu.nl wrote:

From: "Maarten Buis" <M.Buis@fsw.vu.nl>
To: <statalist@hsphsun2.harvard.edu>
Subject: st: RE: RE: Standard Errors
Date: Tue, 28 Nov 2006 12:18:32 +0100

--- I wrote:
> An even better and easier way to get
> such a combined estimate is to constrain the effect of
> explanatory variable to be the same across years. This is
> actually very simple to do, since all you have to do is
> *not* add an interaction term with year.

A detailed description of interaction effects and lots of
Stata examples can be found on:

http://www.ats.ucla.edu/stat/stata/webbooks/reg/chapter3/statareg3.htm
http://www.ats.ucla.edu/stat/stata/webbooks/reg/chapter6/statareg6.htm

HTH,
Maarten

-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------


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