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st: bootstraping two stages together


From   Danny Cohen-Zada <danoran@bgu.ac.il>
To   statalist@hsphsun2.harvard.edu
Subject   st: bootstraping two stages together
Date   Wed, 18 Jun 2008 18:47:23 +0200

Dear stata members

I have a multinomial logit regression in which one of the covariates is 
endogenous.

More specifically, the model is:


1) y1  = a0+a1*y2+a2*x1+a3*x2               (where y1 obtain the values 
0,1,2)

2) y2 = b0+b1*x1+b2*x2+b3*z1 (z1 is an excluded instrument for y2)


To run this model, i first estimate equation 2 and obtain expected y2 and 
then plug it in equation 1 (which is a multinomial logit regression). In 
this case, i know that the standard error of the estimated a1 coefficient is 
not correct. I also know that i must bootstrap the two stages together but I 
do not know how to do it.

I will be thankful to anybody that can guide me in this issue.

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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