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Re: st: booststraping in two stage models


From   "Danny Cohen-Zada" <danoran@bgu.ac.il>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: booststraping in two stage models
Date   Tue, 11 Mar 2008 19:57:43 +0200

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" <lmisaravia@gmail.com>
To: <statalist@hsphsun2.harvard.edu>
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 <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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