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st: booststraping in two stage models


From   "Danny Cohen-Zada" <danoran@bgu.ac.il>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: booststraping in two stage models
Date   Tue, 11 Mar 2008 18:11:33 +0200

I have a question that is relevant to all two stage models. For example, take the ivprobit model. If for any reason i want to obtian bootstraped standard errors. Can i do the following procedure.

1) estimate the first stage.
2) use predict, pp
3) estimate the second stage by probit (in which we substiture pp instead of the endogenous regressor) using the vce(boot) option.

Will this be correct or should i bootstrapct the two stages together. If i must bootstrapt the two stages together, how should i do it?

thanks,

Danny



Dr. Danny Cohen-Zada
Department of Economics
Ben-Gurion University of the Negev
P.O.Box 653
Beer-Sheva 84105
Israel

Tel: +972-8-6472301
Fax: +972-8-6472941

http://www.econ.bgu.ac.il/facultym/danoran/main.htm
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