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

Author

Listed:
  • Stavros Poupakis

    (University College London)

Programming Language

Stata

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.

Suggested Citation

  • Stavros Poupakis, 2022. "RRP: Stata module to compute Rescaled Regression Prediction (RRP) using two samples," Statistical Software Components S459111, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459111
    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 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/r/rrp.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/rrp.sthlp
    File Function: help file
    Download Restriction: no
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