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Usage of an estimated coefficient as a dependent variable

Author

Listed:
  • Abigail S. Hornstein

    ()

  • William H. Greene

    () (Stern School of Business, New York University)

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.

Suggested Citation

  • Abigail S. Hornstein & William H. Greene, 2012. "Usage of an estimated coefficient as a dependent variable," Wesleyan Economics Working Papers 2012-011, Wesleyan University, Department of Economics.
  • Handle: RePEc:wes:weswpa:2012-011
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    File URL: https://doi.org/10.1016/j.econlet.2012.03.027
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    References listed on IDEAS

    as
    1. Saxonhouse, Gary R, 1976. "Estimated Parameters as Dependent Variables," American Economic Review, American Economic Association, vol. 66(1), pages 178-183, March.
    2. Art Durnev & Randall Morck & Bernard Yeung, 2004. "Value-Enhancing Capital Budgeting and Firm-specific Stock Return Variation," Journal of Finance, American Finance Association, vol. 59(1), pages 65-105, February.
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    Cited by:

    1. Hornstein, Abigail S., 2013. "Corporate capital budgeting and CEO turnover," Journal of Corporate Finance, Elsevier, vol. 20(C), pages 41-58.
    2. Guisinger, Amy Y. & Hernandez-Murillo, Ruben & Owyang, Michael T. & Sinclair, Tara M., 2018. "A state-level analysis of Okun's law," Regional Science and Urban Economics, Elsevier, vol. 68(C), pages 239-248.
    3. repec:eee:jfinec:v:128:y:2018:i:3:p:466-485 is not listed on IDEAS
    4. Coisnon, Thomas & Rousselière, Damien & Rousselière, Samira, 2018. "Information on biodiversity and environmental behaviors: a European study of individual and institutional drivers to adopt sustainable gardening practices," Working Papers 272610, Institut National de la recherche Agronomique (INRA), Departement Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2).
    5. Coisnon, Thomas & Rousselière, Damien & Rousselière, Samira, 2018. "Information on biodiversity and environmental behaviors: a European study of individual and institutional drivers to adopt sustainable gardening practices," Working Papers 272611, Institut National de la recherche Agronomique (INRA), Departement Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2).
    6. Thomas Coisnon & Damien Rousselière & Samira Rousselière, 2018. "Information on biodiversity and environmental behaviors: a European study of individual and institutional drivers to adopt sustainable gardening practices," Working Papers SMART - LERECO 18-02, INRA UMR SMART-LERECO.
    7. repec:kap:jrefec:v:56:y:2018:i:2:d:10.1007_s11146-016-9596-6 is not listed on IDEAS
    8. repec:kap:jrefec:v:57:y:2018:i:1:d:10.1007_s11146-016-9562-3 is not listed on IDEAS
    9. Alok R. Saboo & Anindita Chakravarty & Rajdeep Grewal, 2016. "Organizational Debut on the Public Stage: Marketing Myopia and Initial Public Offerings," Marketing Science, INFORMS, vol. 35(4), pages 656-675, July.

    More about this item

    Keywords

    two-step estimation; heteroskedasticity; random parameters; GLS; OLS;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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