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st: 2SLAD - qreg - how to obtain t-stat and p-value


From   "Ngo,PT (pgr)" <P.T.Ngo@lse.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: 2SLAD - qreg - how to obtain t-stat and p-value
Date   Wed, 7 Apr 2004 20:05:28 +0100

Dear Stata-listers,

First of all, as I am not sure I did send an email last time, thank you very much to Mark Schaffer for his reply to my latest posting re. ivreg2.

I am now estimating a 2SLAD model, and follow the instructions given by Statacorp's Brian P. Poi in the statalist dated 26 Sep 2003.  Is there a way to retrieve the p-value and the t-stat as they appear when using the command bsqreg? As Brian Poi explains, the s.e. need to be bootstrapped for _both_ stages of the estimation so that it is the command _bootstrap_ which needs to be used.


program bootit2
	version 8.0
	//region 2 - stage 1
	reg Y2 X1 Z if reg7==2
	predict double phat2, xb
		
	//region 2 - stage 2
	qreg Y1 X1 phat2 if reg7==2
	drop phat2
end
bootstrap "bootit2" _b, reps (200) dots

I need to do this for 7 regions.

Thanks a lot in advance for your help and time.

Thi Minh

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