POLYREG: Stata module to perform-regression on a polychoric index with bootstrap inference that accounts for the estimated index (generated-regressor correction)

Yusuf Toyin Yusuf ()
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Yusuf Toyin Yusuf: Kwara State University

Statistical Software Components from Boston College Department of Economics

Abstract: Wealth or socioeconomic-status indices built by polychoric principal component analysis are routinely used as regressors. The usual practice computes the index once and then treats it as data. This ignores the sampling error in the index weights (loadings and thresholds), so the reported standard errors are too small (the generated-regressor problem; Pagan 1984; Murphy and Topel 1985). polyreg builds the index with polyindex and fits the outcome model. It then bootstraps the whole procedure, optionally by cluster. In every replication, the polychoric correlations, thresholds and eigenvectors are re-estimated, the index is recomputed (and, with quantiles(), regrouped), and the outcome model is re-fitted. The bootstrap covariance matrix of the outcome-model coefficients is posted in e(V). For the index terms, the display compares bootstrap standard errors with the naive (robust or cluster) standard errors and reports their ratio.

Language: Stata
Requires: Stata version 14
Keywords: polychoric index; bootstrap inference (search for similar items in EconPapers)
Date: 2026-10-30
Note: This module should be installed from within Stata by typing "ssc install polyreg". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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http://fmwww.bc.edu/repec/bocode/p/polyreg.ado
http://fmwww.bc.edu/repec/bocode/p/polyreg.sthlp
http://fmwww.bc.edu/repec/bocode/p/polyreg_example.do
http://fmwww.bc.edu/repec/bocode/p/polyreg_cert.do

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