st: bootstrapped std errors in two stage estimation

["Arin Dube" <rindub@hotmail.com>]

Hi,

I am trying to get bootstrapped standard errors for a 2-stage estimation 
procedure.  Specifically, I'm trying to implement a control function 
estimation, but the specifics of that are less important.

I'd like to write a program ("myprog") that can be called on in the 
bootstrap command that does the following:

***

regress treatment  instrument [aw=myweight]
predict resid, residual
gen treatment_resid = treatment*resid

regress depvar treatment resid treatment_resid [aw=myweight]

***

I'd like to bootstrap "myprog" to get the regression coefficient of 
treatment ... passing on (treatment, instrument, myweight) to "myprog"  ... 
Fundamentally I'm interested in boostrapped standard error of the 
"treatment" coefficient in the second regression.

Thanks for any help.

Arin

bootstrap "myprog"

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