IDEAS home Printed from
   My bibliography  Save this paper

Implementing restricted least squares in linear models


  • 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.

Suggested Citation

  • J. Haisken-DeNew, 2006. "Implementing restricted least squares in linear models," German Stata Users' Group Meetings 2006 06, Stata Users Group.
  • Handle: RePEc:boc:dsug06:06

    Download full text from publisher

    File URL:
    Download Restriction: no

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. 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). General contact details of provider: .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.