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st: bootstrapped std errors in two stage estimation

From   "Arin Dube" <>
Subject   st: bootstrapped std errors in two stage estimation
Date   Thu, 20 Oct 2005 07:34:44 +0000


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.


bootstrap "myprog"

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