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RRP: Stata module to compute Rescaled Regression Prediction (RRP) using two samples

Stavros Poupakis ()

Statistical Software Components from Boston College Department of Economics

Abstract: rrp implements a Rescaled Regression Prediction (RRP) using two samples in two steps. First it creates a new variable, by imputing the dependent variable in the current sample, using the stored first-stage regression, fitted in the sample that contains the dependent variable and the proxies. The samples can be in different datasets or can be appended, indexed by a sample identifier. The command requires the proxy variables in the two samples (first-stage regression and in proxies()) to have the same name (order does not matter). The user needs to correctly input the partial R-squared (see example). The command returns the results of the second-stage regression and creates the new imputed variable.

Language: Stata
Requires: Stata version 8
Keywords: regression; scaling; proxy variable (search for similar items in EconPapers)
Date: 2022-08-07
Note: This module should be installed from within Stata by typing "ssc install rrp". The module is made available under terms of the GPL v3 ( Windows users should not attempt to download these files with a web browser.
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