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st: Generated Regressor Problem.


From   "hua sun" <hua.sun@sauder.ubc.ca>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Generated Regressor Problem.
Date   Thu, 6 Jul 2006 16:39:10 -0700

Dear Stata users,

Does anybody know whether Stata has a command to deal with the generated regressor problem? I have a two stage regression in which the second regression will use some regressors that are estimated based on the first one. I think I should correct the varaince-covariance matrix to make my inference valid.

Thank you very much for the information.

Cheers

Hua
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