Danny,
The procedure you give is correct, you only need to correct the
standard errors of the second stage.
Leonor
2008/3/11, Danny Cohen-Zada <[email protected]>:
> 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
>
> *
> * 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/
>
*
* 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/
