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From |
Nicholas Hall <nicholasronhall@gmail.com> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
st: Regression with errors on dependent and independent variables |

Date |
Tue, 14 Aug 2012 12:44:35 -0700 |

Dear Stata users, I'm wondering if I could get some help with how to do a regression in which both my dependent and independent variables have errors. I'm aware of regression with aweights but aweights only assign a relative weight to each data point (i.e., the relative size of the errors) whereas I want give the absolute size of the errors. Here is a concrete example in which the dependent and independent variables are averages and thus their errors are simply the standard error of the means. Say I have a distribution of x and y values for a set of groups defined by the categorical variable group and I calculate the means and standard deviations of each of these groups as follows: . collapse (mean) meanx=x (sd) sdx=x (count) nx=x (mean) meany=y (sd) sdy=y (count) ny=y, by(group) So now each observation corresponds to a group of observations and I calculate the standard error of the mean for each group: gen semx = sdx/nx gen semy = sdy/ny Now I would like to run the regressing taking into consideration the errors for each group which may be quite different for different groups. In my ideal world I would just do something like: reg y x, [yerror=semy] [xerror=semx] Thank you for your help! Nicholas * * 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/

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