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Re: st: Generated regressor problem
Aljandrop,
off-list, since I am not really sure.
Am trying to estimate a Probit Model where my main regressor is based on
predictions from another regression. Is there anything I should do to adjust
for the standard errors given that am using an estimated dependent variable?
There is a recent issue of Political Analysis (Volume 13, Number 4,
Autumn 2005), a "Special Issue on Multilevel Modeling for Large Clusters."
If I remember correctly, one of the things almost all authors argue is
that you do not need to adjust for standard errors. But, as the title of
the special issue indicates, this advice is tailored to situations in
which you have large clusters (lots of level-1 observation per level-2
unit).
Also, you may want to check out GLLAMM, in case you want to fit the
model differently.
HTH,
Philipp
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