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Re: st: Asymptotic variance adjustment for OLS with generated regressors


From   "Stas Kolenikov" <[email protected]>
To   [email protected]
Subject   Re: st: Asymptotic variance adjustment for OLS with generated regressors
Date   Thu, 31 Aug 2006 09:07:30 -0500

There's been a discussion on the list about a week ago about two-stage
estimation and correction of the variance estimates. Please look it
up.

On 8/30/06, [email protected] <[email protected]> wrote:
I attempted OLS estimation when one of the regressors has been estimated from a
first stage procedure(generated regressor)

  Y=c0+ c1X1+c2x2+...+rq(hat)+e : q(hat) is a generated regressor for my case

       from q=a0+a1z1+a2z2 +........

According to the reference(Woodridge), an adjustment is needed for the
asymptotic variance of all OLS estimators.
I just want to know how implemented this adjustment at STATA. Besides, I want to
know whether rreg(robust regression) is applied to OLS with generated regressor

Any comments and suggestion are welcomed.

Thanks

WT
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--
Stas Kolenikov
http://stas.kolenikov.name
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