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st: Correcting stanadard error in 2SLS

From   Bidisha Sayema <>
Subject   st: Correcting stanadard error in 2SLS
Date   Tue, 12 Feb 2008 19:27:02 -0000

Dear Satalisters,

I am using a two sample two stage least square method which essentially
involves getting predicted value of one of the explanatory variables
from one sample and then using that predicted value in another sample to
estimate the final regression. Therefore in my 1st sample I have the
explanatory variable X and instruments Zs and in 2nd sample I don't have
X but I have the dependent variable Y and same instrument set Z. In my
1st stage I estimate model of X while regressing X on Zs. In the 2nd
stage I use the coefficients of Zs obtained from the 1st stage
regression with the values of Zs available in the 2nd sample to get a
predicted value of Xhat. This Xhat is used as a regressor in my final
regression of Y. However as I am using predicted value of Xhat in my
final regression, I need to correct the standard errors manually. It
would be greatly appreciated if someone inform me how to do it in STATA.

*ps: I am having problem while receiving mails from statalist therefore
it would be appreciated if you also reply to the other address in this

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