Displaying 1 result from an estimated 1 matches for "step2model".
2007 Feb 21
0
Problems with obtaining t-tests of regression
...see Wooldridge, bottom of page 91.
b) it could be safer to explicitly compute HC SEs by formula 5.34 in
Wooldridge, based on the 2sls residuals you got from systemfit().
c??) Maybe there's a shorter way: I suspect that the following could
work:
- regress Sc on the rest, get Sc_hat
- estimate step2model<-lm(lnP~Ag+Ag2+Var+R+D+Sc_hat)
and now I think coeftest(step2model,vcov=vcovHC) should compute exactly
formula (5.34) in Wooldridge, but *please check this out*, as it is only
an intuition!!
Best,
Giovanni
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Message: 3
Date: Tue, 20 Feb 2007 14:00:56 +0100
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