Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: instrumental variables with xtpcse


From   "Skidmore, Mark" <mskidmor@anr.msu.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: instrumental variables with xtpcse
Date   Tue, 28 Aug 2007 15:28:10 -0400

I have estimated a two-stage regression using the following commands:

. xtpcse lntifvalue cityshare lnpop effectivefullvaluerate residential_share year5-year17, correlation(ar1) pairwise
. predict xb
. xtpcse lnvalueexcludingtif xb lnpop effectivefullvaluerate residential_share year5-year17, correlation(ar1) pairwise

However, the standard errors in this two-step procedure are incorrect.  I thought I might be able to obtain the correct standard errors using the VCE bootstrapping option.  While the VCE option is available for the xtreg command, it appears that the VCE option is not available for the xtpcse command.  Has anybody utilized the bootstrapping technique in conjunction with the xtpcse command?  Any other ideas for how best to obtain the correct standard errors in this context?  Your suggestions would be very much appreciated.

Mark



*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index