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Re: st: AW: save estimated coefficients and use in other regressions

From   Maarten buis <>
Subject   Re: st: AW: save estimated coefficients and use in other regressions
Date   Fri, 6 Nov 2009 01:46:30 -0800 (PST)

--- Jia Li wrote:
> I have a simple question which I couldn’t find a
> solution:  I want to use estimated coefficients from one
> regression analysis in other analyses. What would be the
> best way to save the estimation results and call them in
> other do-files?

--- On Fri, 6/11/09, Martin Weiss wrote:
> Depends very much on the context. -estimates store- and
> -estimates save- are obvious candidates. Also look at 
> -postfile-

This is not a simple question as it could mean multiple 
things: It could mean that you want to estimate a 
regression for each region/school/company separately, and
than study how the resulting coefficients change as a 
result of some characteristic of the region/school/company.
Basically, you are then trying to do some form of 
multi-level analysis, and the first recommendation would 
be not to do that and use the appropriate -xt- commands
instead. The second recommendation would be to use either
-statsby- or -postfile- to collect the results, but now 
you'll have to think about how to weight the different
estimates: An estimate which was measured with very low
precision should not get the same weight as an estimate
measured with very high precision. Reasoning by analogy from
the meta-analysis literature I would use 1/se^2, but you'll
need to find your own justification for such a weight (and
which weight type to use).

Alternatively, your question could mean that you want to 
combine that you have multiple models and want to compare
coefficients. This is usually a mistake. Most of the times
that this is asked on the statalist, the answer is that
you should estimate one model and make proper use of 
dummies and interactions. If this is not the case you
could consider looking at -suest-.

Bottom line: you'll need to tell us more about your problem,
even if you found the answer in the previous posts; the 
polite thing is to close a thread that you started.

-- Maarten

Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen


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