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st: RE: what if no data is available at all

From   "Nick Cox" <>
To   <>
Subject   st: RE: what if no data is available at all
Date   Wed, 19 Jul 2006 10:09:57 +0100

This is a re-posting of a posting sent only yesterday. 

That is not to say that someone else may not answer it, but 
others may share my reaction that really useful comment is 
impossible on a question of this kind. 

It's your project; I might well do something
similar in your circumstances; but you do have a problem. 
But you know that already. 

Re-posts are explicitly discouraged in the FAQ: Woong
Chung, and several others who are just re-posting messages, 
please do read what the FAQ has to say on this point: 

4. What to do if you do not get an answer


> I would like to run panel regression using firm level annual 
> data such that
>                y=a0+a1x1+a2x2+...
> The problem here is that I have no data for x1(firm 
> level),thus I instead,
> tried to regress x1 on related variables using "industry 
> level" data and use
> the fitted values to generate x1.
> More specifically,
>   1st step: run X1=b0+b1*Z1+b2*Z2+... and find out fitted 
> values of all b's (X1
> and all Z's are industry level data, but not annually )
>  2nd step: using fitted value b's and firm level data,
> find out x1 such that x1=b0hat + b1hat*z1+b2hat*z2
> (all z's are firm level annual data,  )
>  3rd step: run first regression.
> It look like generating proxy var. for x1.
> I would like to know if anything wrong this approach under 
> the case that there
> exist no data or if there are better suggestions.

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