Standard error correction in two-stage estimation with nested samples
Data at different levels of aggregation are often used in two-stage estimation, with estimates obtained at the higher level of aggregation entering the estimation at the lower level of aggregation. An example is customers within markets: first-stage estimates on market data provide variables that enter the second-stage model on customers. We derive the asymptotic covariance matrix of the second-stage estimates for situations such as these. We implement the formulae in the Petrin--Train application of households" choice of TV reception and compare the calculated standard errors with those obtained without correction. In this application, ignoring the sampling variance in the first-stage estimates would be seriously misleading. Copyright Royal Economic Society, 2003
Year of publication: |
2003
|
---|---|
Authors: | Karaca-Mandic, Pinar ; Train, Kenneth |
Published in: |
Econometrics Journal. - Royal Economic Society - RES. - Vol. 6.2003, 2, p. 401-407
|
Publisher: |
Royal Economic Society - RES |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Standard error correction in two-stage estimation with nested samples
Karaca-Mandic, Pinar, (2003)
-
Standard error correction in two-stage estimation with nestedsamples
Karaca-Mandic, Pinar, (2003)
-
Gates, Susan M., (2009)
- More ...