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st: About the consequence of doing a two step estimation manually


From   "Leda Inga" <ledainga@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: About the consequence of doing a two step estimation manually
Date   Mon, 9 Jun 2008 18:17:42 -0500

Dear statalisters:

I've tried to found a way to do a correct two step estimation but
haven't found an answer. I have an explanatory variable correlated
with the error term and that variable enters the model also with a
square term. I know that if the estimation is done manually the betas
are still consistent and that the problem is the standard errors are
not correctly calculated. What I would like to know is if the standard
errors are subestimated or overestimaded? The pvalue of one of the
regressors of my model is very high and would like to know if the true
pvalue is higher or lower.

Thanks in advance.
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