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Re: st: bootstraping two stages together


From   "Danny Cohen-Zada" <danny.cohen.zada@gmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: bootstraping two stages together
Date   Wed, 18 Jun 2008 18:21:26 +0200

Thaks for this important information.

How would you deal with this problem?

Danny
----- Original Message ----- From: "Austin Nichols" <austinnichols@gmail.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, June 18, 2008 6:06 PM
Subject: Re: st: bootstraping two stages together



Danny Cohen-Zada <danoran@bgu.ac.il>:
You have more to worry about than correcting SEs--that does not sound
like a consistent estimator; see e.g. pp 12-13 of
http://www.nber.org/family/WNE/lect_6_controlfuncs.pdf
viz.
"Plugging in fitted values for y2 only works in the case where the
model is linear in y2"

On Wed, Jun 18, 2008 at 12:47 PM, Danny Cohen-Zada <danoran@bgu.ac.il> wrote:

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
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