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From |
Robert Duval <[email protected]> |

To |
[email protected] |

Subject |
Re: st: two stage model variance estimators |

Date |
Wed, 14 Sep 2005 19:55:19 -0400 |

it would actually help if you could sent your commands to the list so that we see what's going on, best robert On 9/14/05, Rachel Bouvier <[email protected]> wrote: > Hi again. I tried interacting my xs with country specific dummies and > running them in a single equation as suggested. Stata is dropping the > country dummies, even though I specify the nocons option. (I remember > now that this was why I had originally run it in 30 different equations > - it works fine that way, but not if I put them all into one equation.) > Am I doing something wrong? It could be because xsq is the square of > x, but I don't understand why stata would let me do it for an individual > country but not together. Sorry for being obtuse. -Rachel > > >>> [email protected] 09/13/05 4:50 PM >>> > a possible solution could be to run in a single model the equation > > (1) y = b1 x + b2 xsq > > interacting your x's with country specific dummies. > > In other words, you could run a fully interactive model which is > equivalent to running 30 different regressions but in a single > equation. (make sure you include the country specific dummies too that > would account for the constant in your separate regressions and > specify the nocons option). > > hope this helps. > robert > > > On 9/13/05, Rachel Bouvier <[email protected]> wrote: > > Dear statalisters * > > > > I am confronting a problem much like that described by James Hardin > in volume 2, issue 3 of the Stata Journal, "The robust variance > estimator for two-stage models," where he gave an illustration of Stata > code to construct the Murphy-Topel variance estimator. > > > > I am using a variable (call it yhat), predicted in a first (series > of) equations, as a regressor in my second equation. > > > > In other words, my first (series of) regressions looked like this: > > (1) y = b1 x + b2 xsq > > > > Then, I predicted yhat from that regression, and used that in a > second regression: > > (2) z = b1 yhat + b2 x2 + b2 x3* > > > > I say "series of" regressions because I have a panel of 30 countries. > Rather than run one panel data regression and predict each country's > yhat from that, I ran each country as a separate regression, not wanting > to assume that they could be pooled. In other words, I ran equation (1) > 30 different times, for each country in the dataset. (It seemed to make > sense at the time, to both me and my committee!) > > > > Therein lies my problem. I would like to adjust the standard errors > for the fact that I predicted yhat, but as I ran a different regression > for each country, the solution is not as easy as constructing the > Murphy-Topel estimator. Does anyone have any suggestions? Any help > would be much appreciated, before I dive into something that is > undoubtedly over my head. Thanks. > > > > > > > > * > > * For searches and help try: > > * http://www.stata.com/support/faqs/res/findit.html > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**Re: st: two stage model variance estimators***From:*"Rachel Bouvier" <[email protected]>

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