Say I have three data sets of size $n$ each:

$y_1$ = heights of people from the US only

$y_2$ = heights of men from the whole world

$y_3$ = heights of women from the whole world

And I build a linear model for each with factors $x_i$, $i = 1,..., k$:

$\hat{y}_{j} = \beta_{0} + \beta_{1}x_{1} + \beta_{2}x_{2} + \epsilon_{j}$

with $\epsilon$ having the usual properties for OLS. And I may use a factor $x_i$ in more than one regression.

My question is: How could I combine the regressions such that I can obtain estimates for:

$y_{12}$ = height of men from the US only

$y_{13}$ = height of women from the US only

for which I do not have data

I thought of perhaps some sort of weighting:

$ \hat{y}_{12} = w_{1} \hat{y}_{1} + (1 - w_{1}) \hat{y}_{2}$

but then I wouldn't know what to use for $w_1$.

  • $\begingroup$ You should probably ask on cross validated instead of quant finance... $\endgroup$ – assylias Feb 22 '16 at 22:43
  • $\begingroup$ I did, but got no answers, so I added it here as well... please feel free to answer there if you think it's more appropriate! $\endgroup$ – J4y Feb 23 '16 at 12:55

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