Use regression coefficients from one reg in another

[Alexandra Rhein]

Hey,

I would like to use the measured coefficients from one regression in another. The underlying task is to use my complete timeline to measure a few coefficients and then add a shorter timeline and examine whether my model improves due to the new information. But I would like to use all the information I can get from the longer original timeline, to measure the first coefficients without cutting the first timeline by adding variables with less observations. So I would like to use the coefficients from my first model in the second one and thereby get a fairer comparison of the two models.

Thank you very much in advance!!!

[Joro Kolev]

What you said does not make much sense to me.

Otherwise you refer to coefficients in

reg y x

by _b[x], or you pull them out of the vector e(b), e.g., el(e(b),1,1).

[George Ford]

Not sure that makes much sense either.

You could estimate the long regression then use cnsreg and constrain the coefficients in the short regression to the values from the long regression.

Why not set missing values in the more limited Xs to zero and add a dummy for those periods? Maybe estimate two sets of coefficients on the longer data using dummy interaction.