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From |
"Leda Inga" <ledainga@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Mon, 9 Jun 2008 18:53:27 -0500 |

Thank you very much. I definitely donīt want to get standard errors that are too small, the problem is that I don't know how to it right. My model is like this: Y*= aZ + bC +bC^2 + e Y*>0, Y=1 Y*<0, Y=0 Z: exogenous regressors As I mentioned before C is correlated with e. I have instruments (W) but donīt know how to do a correct estimation. ivprobit doesn`t allow for a square term. I asked before in statalist if this would be right, but got no answer: ivprobit Y Z (C Csquared=W Chatsquared) Chatsquare: square of predicted values of regressio of C on Z and W. 2008/6/9 David Greenberg <dg4@nyu.edu>: > If you do the estimation m,anually by substituting the predicted value of a predictor into an equation for the second-stage estimation, the software will treat that predicted value as a true observed value, ignoring the fact that there is some uncertainty surrounding the prediction in the first stage. Consequently the second-stage estimation is going to produce estimates with standard errors that are too small. A question that one might ask is why you want to do this manually. David Greenberg, Sociology Department, New York University > > ----- Original Message ----- > From: Leda Inga <ledainga@gmail.com> > Date: Monday, June 9, 2008 7:19 pm > Subject: st: About the consequence of doing a two step estimation manually > To: statalist@hsphsun2.harvard.edu > > >> 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. >> * >> * 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/

**References**:**st: About the consequence of doing a two step estimation manually***From:*"Leda Inga" <ledainga@gmail.com>

**Re: st: About the consequence of doing a two step estimationmanually***From:*David Greenberg <dg4@nyu.edu>

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