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From |
"Leonor Saravia" <lmisaravia@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: booststraping in two stage models |

Date |
Tue, 11 Mar 2008 15:21:25 -0400 |

Hi Danny, Maybe the problem is the model you are running in the first step. The ivprobit command run a OLS regression in the first step (with the instrument) and then predict the parameters that uses in the second step, in which calculates the correct standard errors using bootstrap. So, if your first step model isn't an OLS model, then the standard errors are going to be different. Otherwise, I don't know what's happening, sorry. Hope this help, Leonor The ivprobit command in 2008/3/11, Danny Cohen-Zada <danoran@bgu.ac.il>: > Hi Leonor, > > I did both ideas (with 1000 replications) and obtaind different standard > errors. Thus, i thought that maybe these two procedures are not equivalent. > Do you know what stata does when i use ivprobit, vce(boot)? Do you think > stata does what you told me to do by hand? If yes, why i obtained different > results? > > 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/ > > > > * > * 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/

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

**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>

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

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