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st: disattenuated regression


From   "'Alim Beveridge" <alimba@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: disattenuated regression
Date   Wed, 14 Nov 2012 22:48:50 -0500

Hello,

I would like to run disattenuated regression (DR) in Stata. I have not found a package that will do this for me. So I think I have to manually alter the variance-covariance matrix and run the regression on that altered matrix. I have never done anything like this before so any guidance would be really appreciated. I am running Stata 12 on Windows.

I found the following description of a procedure for manually altering the variance-covariance matrix (V): http://www.stata.com/support/faqs/statistics/instrumental-variables-regression/ In my case, I need to only correct the variances (for measurement error), the covariances will not change. However, in my case the coefficients should change as a consequences of this correction, while in the example they do not. Does this mean I have to manually calculate the coefficients and update (b) too? Or is there a command I can use to estimate new coefficients based on the corrected V? Can I use an approach similar to what is shown in the example? If not, what approach can I use?

Thanks for any help!
'Alim


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