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st: estimated dependent variables

From   Katharina Michaelowa <[email protected]>
To   [email protected]
Subject   st: estimated dependent variables
Date   Wed, 14 Mar 2012 20:30:45 +0100

Is there an easy way in Stata to include the relevant errors into a regression that uses the estimates from some other regression as dependent variables?

In my specific case, I have estimated a fixed-effects regression (in a country-year panel setting). In a second stage, I would like to see to what extent the country fixed effects are explained by time-invariant country level variables, with a particular interest in the R2. The intention is to show that one can safely use a random effects model rather than a fixed effects model in the first place, once these variables are taken into account (since they explain a very high share of the variation in the fixed effects - at least that's what I believe). Of course, to show that, standard errors should be correct and I am not sure how to implement this in Stata.

Can you help?
Thank you very much in advance!

Katja Michaelowa

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