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dc.contributor.authorHornstein, A.
dc.contributor.authorGreene, William
dc.date.accessioned2017-01-30T12:51:08Z
dc.date.available2017-01-30T12:51:08Z
dc.date.created2015-12-24T20:00:18Z
dc.date.issued2012
dc.identifier.citationHornstein, A. and Greene, W. 2012. Usage of an estimated coefficient as a dependent variable. Economics Letters. 116 (3): pp. 316-318.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/25972
dc.identifier.doi10.1016/j.econlet.2012.03.027
dc.description.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. © 2012 Elsevier B.V.

dc.titleUsage of an estimated coefficient as a dependent variable
dc.typeJournal Article
dcterms.source.volume116
dcterms.source.number3
dcterms.source.startPage316
dcterms.source.endPage318
dcterms.source.issn0165-1765
dcterms.source.titleEconomics Letters
curtin.departmentSchool of Economics and Finance
curtin.accessStatusFulltext not available


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