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Re: st: Correcting stanadard error in 2SLS

Subject   Re: st: Correcting stanadard error in 2SLS
Date   Sat, 16 Feb 2008 11:55:56 +0100

I am not sure which is question here: are you asking for some Stata commands making 2SLS? The response is: search for any "iv-"something command.
Or do you really want to make a 2SLS by hand and you don't know exaclty how to do it? In this case, a search on the FAQs or on Statalist should provide you the answer

At 02.33 13/02/2008 -0500, Bidisha Sayema wrote:
>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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