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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 14:26:36 -0400

Danny,

Stata has the ivprobit command, which allow you to calculate the
bootstrapped standard errors. So you can estimate your model using it:
ivprobit, vce(boot)

Also, you can do it by hand:

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). Here you can use the - vce(boot) - option

I hope this help,

Leonor


2008/3/11, Danny Cohen-Zada <danoran@bgu.ac.il>:
> 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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