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RE: Antwort: Re: st: RE: Use fixed-effects' coefficients in a second regression
From
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To
<statalist@hsphsun2.harvard.edu>
Subject
RE: Antwort: Re: st: RE: Use fixed-effects' coefficients in a second regression
Date
Fri, 21 Jan 2011 01:10:00 -0000
Actually, you might not want to go down that route - the P-T estimator
has been heavily criticized by some heavyweights in the field. See
Kit's post from a couple of weeks ago:
http://www.stata.com/statalist/archive/2011-01/msg00220.html
--Mark
________________________________
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Justina
Fischer
Sent: 20 January 2011 22:24
To: statalist@hsphsun2.harvard.edu
Subject: Antwort: Re: st: RE: Use fixed-effects' coefficients in
a second regression
Hi Fabien,
if not already suggested, you miht consider the estimator
developed by Pluemper and Troeger.
For more info, see here:
http://www.polsci.org/pluemper/ssc.html
Best
Justina
-----owner-statalist@hsphsun2.harvard.edu schrieb: -----
An: statalist@hsphsun2.harvard.edu
Von: Austin Nichols <austinnichols@gmail.com>
Gesendet von: owner-statalist@hsphsun2.harvard.edu
Datum: 20.01.2011 06:40PM
Thema: Re: st: RE: Use fixed-effects' coefficients in a second
regression
Fabien Bertho:
Also note that the estimated FE will be measured with error and
you
may want to weight your second regression appropriately using an
estimate of variance or "shrink" the FE toward some group mean;
see
also
findit fese
findit felsdvreg
findit felsdvregdm
On Thu, Jan 20, 2011 at 11:32 AM, Schaffer, Mark E
<M.E.Schaffer@hw.ac.uk> wrote:
> Fabien,
>
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu
>> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
>> Fabien Bertho
>> Sent: 20 January 2011 14:23
>> To: statalist@hsphsun2.harvard.edu
>> Subject: st: Use fixed-effects' coefficients in a second
regression
>>
>> Hi,
>>
>> I would like to run an estimation in two steps. The first
>> step consists in running a regression with control variables
>> and country fixed effects. Then, I would like to convert
>> fixed-effects’ coefficients in variables in order to
>> use them as dependent variables in a second regression.
>
> You can get them with -predict- and the -u- option.
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