IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Implementing restricted least squares in linear models

Listed author(s):
  • J. Haisken-DeNew


    (RWI Essen)

The presentation illustrates the user-written program hds97, which implements the restricted least squares procedure as described by Haisken-DeNew and Schmidt (1997). Log wages are regressed on a group of k-1 industry/region/job/etc. dummies. The kth dummy is the omitted reference dummy. Using RLS, all k dummy coefficients and standard errors are reported. The coefficients are interpreted as percent-point deviations from the industry weighted average. An overall measure of dispersion is also reported. This ado-file corrects problems with the Krueger and Summers (1988) Econometrica methodology of overstated differential standard errors and understated overall dispersion. General comments: The coefficients of continuous variables are not affected by hds97. Also, all results calculated in hds97 are independent of the choice of the reference category. By the way, for all dummy variable sets having only two outcomes, i.e., male/female, the t-values of the hds97 adjusted coefficients are always equal in magnitude but opposite in sign.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: no

Paper provided by Stata Users Group in its series German Stata Users' Group Meetings 2006 with number 06.

in new window

Date of creation: 24 May 2006
Handle: RePEc:boc:dsug06:06
Contact details of provider: Web page:

More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:boc:dsug06:06. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.