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Re: st: booststraping in two stage models
Leonor,
Thank you very much for the quick reply
I am asking about the standard errors. How should i obtain the correct
standard errors of the second stage? Don't my procedure produce the correct
standard errors?
Thanks
----- Original Message -----
From: "Leonor Saravia" <[email protected]>
To: <[email protected]>
Sent: Tuesday, March 11, 2008 7:17 PM
Subject: Re: st: booststraping in two stage models
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
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