Usage of an estimated coefficient as a dependent variable
Two-step estimation with large panel data sets generally involves estimating vectors of individual-specific coefficients in a first-stage. In a second-stage estimation a vector of estimated coefficients is used as the dependent variable. Potential problems of heteroskedasticity in the second stage m...
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| Veröffentlicht in: | Economics letters 2012-09, Vol.116 (3), p.316-318 |
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| container_title | Economics letters |
| container_volume | 116 |
| creator | Hornstein, Abigail S. Greene, William H. |
| description | Two-step estimation with large panel data sets generally involves estimating vectors of individual-specific coefficients in a first-stage. In a second-stage estimation a vector of estimated coefficients is used as the dependent variable. Potential problems of heteroskedasticity in the second stage may be mitigated by weighting all independent observations by the inverse of the variance of the dependent variable, which is obtained from the first stage estimation. This approach needs to be modified if the dependent variable in the second stage is a non-linear function of the estimated coefficient.
► Two-step estimation where estimated coefficients are the dependent variable. ► Mitigate potential problems of heteroskedasticity in the second stage estimation. ► Weight all independent observations using variances from the first stage estimation. ► Approach needs modification for non-linear function of estimated coefficients. |
| doi_str_mv | 10.1016/j.econlet.2012.03.027 |
| format | Article |
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► Two-step estimation where estimated coefficients are the dependent variable. ► Mitigate potential problems of heteroskedasticity in the second stage estimation. ► Weight all independent observations using variances from the first stage estimation. ► Approach needs modification for non-linear function of estimated coefficients.</description><subject>Coefficients</subject><subject>Dummy variables</subject><subject>Estimating techniques</subject><subject>Estimation</subject><subject>GLS</subject><subject>Heteroskedasticity</subject><subject>Mathematical functions</subject><subject>Mathematical problems</subject><subject>OLS</subject><subject>Panel data</subject><subject>Random parameters</subject><subject>Statistical models</subject><subject>Studies</subject><subject>Two-step estimation</subject><issn>0165-1765</issn><issn>1873-7374</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2012</creationdate><recordtype>article</recordtype><recordid>eNqFkE1LxDAQhoMouK7-BKHgxUtrvto0J5HFL1jw4p5DmkwkpdusSXfBf2_K7smLp2HgeYd5H4RuCa4IJs1DX4EJ4wBTRTGhFWYVpuIMLUgrWCmY4Odokbm6JKKpL9FVSj3OoBT1AslN0l9QBFfosYA0-a2ewBYmgHPeeBinQqdCFxZ2MNp5PejodTfANbpwekhwc5pLtHl5_ly9leuP1_fV07o0nPGpJJK0XUsaDEQzA1ZyYzCzrqOdcIw1RkrunCTcWdFg0dlGdyApdbijgtUtW6L7491dDN_7_KLa-mRgGPQIYZ8UwUy0bW6GM3r3B-3DPo75u5miknMmSabqI2ViSCmCU7uYa8efDKlZqOrVSaiahSrMVBaac4_HHOS2Bw9RpVlQ7uQjmEnZ4P-58AtZfH_U</recordid><startdate>20120901</startdate><enddate>20120901</enddate><creator>Hornstein, Abigail S.</creator><creator>Greene, William H.</creator><general>Elsevier B.V</general><general>Elsevier Science Ltd</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20120901</creationdate><title>Usage of an estimated coefficient as a dependent variable</title><author>Hornstein, Abigail S. ; Greene, William H.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c434t-1918b8160e1a3ced94cc03dfb2b7f336c994ff914fd7607bd6abe922f0b273583</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2012</creationdate><topic>Coefficients</topic><topic>Dummy variables</topic><topic>Estimating techniques</topic><topic>Estimation</topic><topic>GLS</topic><topic>Heteroskedasticity</topic><topic>Mathematical functions</topic><topic>Mathematical problems</topic><topic>OLS</topic><topic>Panel data</topic><topic>Random parameters</topic><topic>Statistical models</topic><topic>Studies</topic><topic>Two-step estimation</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Hornstein, Abigail S.</creatorcontrib><creatorcontrib>Greene, William H.</creatorcontrib><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Economics letters</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Hornstein, Abigail S.</au><au>Greene, William H.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Usage of an estimated coefficient as a dependent variable</atitle><jtitle>Economics letters</jtitle><date>2012-09-01</date><risdate>2012</risdate><volume>116</volume><issue>3</issue><spage>316</spage><epage>318</epage><pages>316-318</pages><issn>0165-1765</issn><eissn>1873-7374</eissn><abstract>Two-step estimation with large panel data sets generally involves estimating vectors of individual-specific coefficients in a first-stage. In a second-stage estimation a vector of estimated coefficients is used as the dependent variable. Potential problems of heteroskedasticity in the second stage may be mitigated by weighting all independent observations by the inverse of the variance of the dependent variable, which is obtained from the first stage estimation. This approach needs to be modified if the dependent variable in the second stage is a non-linear function of the estimated coefficient.
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| fulltext | fulltext |
| identifier | ISSN: 0165-1765 |
| ispartof | Economics letters, 2012-09, Vol.116 (3), p.316-318 |
| issn | 0165-1765 1873-7374 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_1037887650 |
| source | Access via ScienceDirect (Elsevier) |
| subjects | Coefficients Dummy variables Estimating techniques Estimation GLS Heteroskedasticity Mathematical functions Mathematical problems OLS Panel data Random parameters Statistical models Studies Two-step estimation |
| title | Usage of an estimated coefficient as a dependent variable |
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