Two-step hierarchical estimation: Beyond regression analysis

Abstract

Two-step estimators for hierarchical models can be constructed even when neither stage is a conventional linear regression model. For example, the first stage might consist of probit models, or duration models, or event count models. The second stage might be a nonlinear regression specification. This note sketches some of the considerations that arise in ensuring that two-step estimators are consistent in such cases. © The Author 2005. Published by Oxford University Press on behalf of the Society for Political Methodology. All rights reserved.