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Re: st: booststraping in two stage models


From   "Leonor Saravia" <lmisaravia@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: booststraping in two stage models
Date   Tue, 11 Mar 2008 13:17:54 -0400

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 <danoran@bgu.ac.il>:
> 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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