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From |
Arka Roy Chaudhuri <[email protected]> |

To |
[email protected] |

Subject |
Re: st: problem with generated regressands and WLS |

Date |
Tue, 12 Oct 2010 21:20:52 -0700 |

Thanks for the response. Sorry for not making my notation clearer- I had used x for the independent variables in both the first and second stage.Revising my notation: 1st stage: y = α + β1x1+ β2x2 +................. +βnxn+ ρ1z1 + ρ2z2 + u 2nd stage: β= p + δq + ε In the first stage y is the dependent variable and x1...xn, z1,z2 are the independent variables.α and p are the intercepts in the first and second stage respectively. The β's(β1, β2,......βn) from the first stage constitute my dependent variable in the second stage-since there are n of them I have n observations for my dependent variable in the second stage. q is the independent variable in the second stage. I also have n observations of them. Yes I do want to improve efficiency although I am not sure how. Should I use the entire variance-covariance matrix of the β's from the first stage as the weighing matrix in the second stage?Or should I just use the variance(from the first stage) of the betas as analytic weights in the second stage?If I use the second method shouldn't non-zero covariances across the observations(β's) affect my results?Also if I am to use the entire variance-covariance matrix as the weighing matrix how should I implement it in Stata?Please advice.Thanks Arka 2010/10/12 Austin Nichols <[email protected]>: > Arka Roy Chaudhuri <[email protected]>: > If you think beta is measured with an independent error, i.e. no > endogeneity or other endemic problems, you can ignore the fact that it > is generated; measurement error in the depvar is usually not a > problem. But perhaps you are looking for improved efficiency, and you > want to use the squared SE on beta as a measure of the error > variance--but it does not vary by observation--see the manual entry on > -vwls- for example. Is your "second stage" in matrix form using the > same y and x and so forth, or have you reused notation? > > 2010/10/12 Arka Roy Chaudhuri <[email protected]>: >> Hi, >> >> I have a two-stage estimation strategy. In the first stage I >> estimate a no of parameters β1.....βN. I use these parameters as my >> dependent variable/regessand in the second stage equation.Now since my >> regressands are generated I need to use the first stage >> variance-covariance matrix of my variables as weights in the second >> stage.To elaborate here is my first stage: >> >> y= α + β1x1+ β2x2 +................. +βnxn+ ρ1z1 + ρ2z2 + u >> >> Now I want to use the β's from the first stage as my second stage >> regressands. My second stage looks like: >> >> β= γ+ δx + ε >> >> Here in the second stage as my β's are estimates from the first stage >> I believe I should use the variance-covariance matrix of the β's as >> the weighing matrix in the second stage. >> Could somebody please tell me if I am doing this correctly and how to >> implement it in Stata?Thanks >> >> Arka >> >> -- >> Arka Roy Chaudhuri >> PhD Student >> University of British Columbia >> > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: problem with generated regressands and WLS***From:*Arka Roy Chaudhuri <[email protected]>

**References**:**st: problem with generated regressands and WLS***From:*Arka Roy Chaudhuri <[email protected]>

**Re: st: problem with generated regressands and WLS***From:*Austin Nichols <[email protected]>

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