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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 21:17:35 +0200 |

I will give you an example why it matters if the two procedures are equivalent. Suppose that i have an ivprobit model with clustering. The ivprobit, two step does not allow to cluster. In this case i have to do it by hand. I did it as you suggest. Then, i took the regular case (without clastering) and found that the two procedures give different results. What do you think?

Best,

Danny

----- Original Message ----- From: "Leonor Saravia" <lmisaravia@gmail.com>

To: <statalist@hsphsun2.harvard.edu>

Sent: Tuesday, March 11, 2008 8:26 PM

Subject: Re: st: booststraping in two stage models

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

>>

>> *

>> * 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/

>

*

* 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/

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**References**:**st: booststraping in two stage models***From:*"Danny Cohen-Zada" <danoran@bgu.ac.il>

**Re: st: booststraping in two stage models***From:*"Leonor Saravia" <lmisaravia@gmail.com>

**Re: st: booststraping in two stage models***From:*"Danny Cohen-Zada" <danoran@bgu.ac.il>

**Re: st: booststraping in two stage models***From:*"Leonor Saravia" <lmisaravia@gmail.com>

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