Dear all,
I have the following problem. I am able to estimate the following two stage regression equation:
Yi,T+1 - Yi,T = α + λ (Y*i,T+1 - Yi,T) + εi,T + 1 where Y*i,T+1 = ˆβXi,T
by obtaining Y*i,T+1 first and than solving the first regression equation by inserting Y*i,T+1 into it.
Some researchers however use so called reduced-form model in the following form:
Yi,T+1 = α + λβXi,T + (1 - λ)Yi,T + εi,T + 1
Apart from using two stage model, I would also like to use described one stage model to obtain λ. Could anyone help me how to solve my problem in Stata?
Thank you in advance,
Klemen.
I have the following problem. I am able to estimate the following two stage regression equation:
Yi,T+1 - Yi,T = α + λ (Y*i,T+1 - Yi,T) + εi,T + 1 where Y*i,T+1 = ˆβXi,T
by obtaining Y*i,T+1 first and than solving the first regression equation by inserting Y*i,T+1 into it.
Some researchers however use so called reduced-form model in the following form:
Yi,T+1 = α + λβXi,T + (1 - λ)Yi,T + εi,T + 1
Apart from using two stage model, I would also like to use described one stage model to obtain λ. Could anyone help me how to solve my problem in Stata?
Thank you in advance,
Klemen.
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