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Re: st: Generated Regressor Problem.


From   "Robert Duval" <rduval@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Generated Regressor Problem.
Date   Thu, 6 Jul 2006 20:44:15 -0400

Are both regressions linear? if so just use ivreg or ivreg2. Otherwise
you'll have to program your own code to create your valid varcov
matrix

robert

On 7/6/06, hua sun <hua.sun@sauder.ubc.ca> wrote:
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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