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-nestreg- (was: st: saving a sample after a regression)

From   "Michael S. Hanson" <>
Subject   -nestreg- (was: st: saving a sample after a regression)
Date   Mon, 12 Mar 2007 17:08:09 -0500

On Mar 12, 2007, at 3:56 PM, Richard Williams wrote:

Consider using nestreg, e.g.

nestreg: reg y x z

This will first regress y on x and then y on x and z. It will use listwise deletion, and for an added bonus it will give you incremental f tests at the end testing the vars added at each stage.
So I am very intrigued by -nestreg- as mentioned by Richard: I am working on an application right now that could benefit from this tool. Looking in the on-line help, it does not support the estimation commands I am interested in using (newey or ivreg), but I notice that it is possible to write one's own programs to run with -nestreg-. Great! Unfortunately, the documentation for doing so does not appear to exist; my copies of the version 9 [R] manuals has no entry for -nestreg- -- as indicated in the on-line help file, which says "forthcoming". The on-line help also makes reference to using -sw- or -swml- as -program- properties for the user-written program.... But neither the on-line help nor the manuals have turned up any information on such properties (although I concede I may have missed them).

So, can anyone recommend further information about implementing user-written commands with -nestreg-? Thanks!

-- Mike

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