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st: RE: Bootstrap in two-stage models


From   "jiang.107" <jiang.107@osu.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Bootstrap in two-stage models
Date   Fri, 18 Feb 2005 10:45:34 -0800

Can't you do this? 

Probit x1 z1 z2 x2 x3    (assuming z1 z2 are instrumental)
Predict x1_p
Reg y x1_p x2 x3


I also have a question of this, does the predict command following probit predict the right variable?


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of nolwenn roudaut
Sent: 2005年2月18日 1:46
To: statalist@hsphsun2.harvard.edu
Subject: st: Bootstrap in two-stage models

Dear All,

I want to estimate a treatment effect model, a two-stage model with a probit
model in the first and an OLS in the second.

I cannot use the 'treatreg' stata program as some of my hypothesis are 
different
from the classical ones.
So I need to compute the two-step corrected variance-covariance matrix "by
hand".

One way to do this is to use the Murphy-Topel correction procedure. (I thank a
statalister that provided me his program last month).

Another way (and this is the one I am interested in) is to use bootstrap
technics.
Does anyone knows how to implement this method?

Nolwenn



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