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Re: st: How to get standard errors for a generated regressor


From   "Stas Kolenikov" <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: How to get standard errors for a generated regressor
Date   Thu, 8 Mar 2007 09:29:27 -0600

Hey Kristin,

you could consider looking up literature on Murphy-Topel standard
errors -- the original paper is treating the linear regression case
only though, but there might be some extensions of it available
around; also there's a couple of SJ papers on that stuff. Or, better,
you could consider moving to a full fledge structural equation
modeling framework where you estimate simultaneously the factor part
of the model and the regression part of the model. For the latter, you
would need to figure out -gllamm- package, see http://www.gllamm.org.

On 3/8/07, Kristin J. Kleinjans <kkleinjans@econ.dk> wrote:
Dear Statalist,

I estimate both a multinomial and an ordered logit model, where two of
the independent variables have been derived using factor analysis (I
use the predicted factors). I was hoping that one of you might know how to
get the correct standard errors for these?

I use Stata 8 (intercooled).

Thank you and best wishes,
Kristin


Kristin J. Kleinjans
University of Aarhus
School of Economics and Management
Building 322
8000 Aarhus C
Denmark
Phone: +45 8942 1624
E-mail: kkleinjans@econ.au.dk
Website: www.econ.au.dk/vip_htm/kkleinjans/Default.htm



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