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Easy to install bash script by Gunnlaugur Þór Briem.

In a recent Political Analysis special issue (Volume 13 Number 1, Winter 2005) there is the suggestion of estimating “two level models” for cross-country survey data in two steps. Where the first step is a within country regression and the second steps regresses the estimated coefficients of the first step (say, the intercepts) on country level covariates.

Jeff Lewis kindly provided me his ancient (2000) stata code and I corrected a very small bug and included an option for Borjas weights.

Jeff Lewis and Linzer article:

Lewis, J.B. & Linzer, D.A. Estimating Regression Models in Which the Dependent Variable Is Based on Estimates Political Analysis, 2005

and the (very similar) Borjas weights used in my article (with John Huber and Georgia Kernell) in the same issue:

Huber, J.D.; Kernell, G. & Leoni, E.L. Institutional Context, Cognitive Resources and Party Attachments Across Democracies Political Analysis, 2005, 13, 365-386

See also

Borjas, G.J. & Sueyoshi, G.T. A two-stage estimator for probit models with structural group effects Journal of Econometrics, 1994, 64, 165-182

Hanushek, E.A. Efficient Estimators for Regressing Regression Coefficients American Statistician, 1974, 28, 66-67

[edit 3/27/2007: fixed links]

stata ado file

stata example using simulated data

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I plan to keep this blog as a way to track my progress on my dissertation. Math is needed sometimes, and to typeset math nothing beats LaTeX. I installed the LaTeX plugin for Wordpress so I can TeX away in my posts.

[tex] y_{ij}\sim \alpha+\beta_i x_{ij} [/tex]

Cool, right? I bet you can’t do that in blogger or whatever.

(You wouldn’t spend time trying to do it as well, but this one was a quick install.)