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-nestreg- (was: st: saving a sample after a regression)
On Mar 12, 2007, at 3:56 PM, Richard Williams wrote:
Consider using nestreg, e.g.
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).
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, can anyone recommend further information about implementing
user-written commands with -nestreg-? Thanks!
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