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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 22:42:33 +0200 |

Dear Professor Austin,

Did i understand you well that i should do the following: Run the first stage

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

then take the residuals of this equation - v2(hat)

Finally, I should estimate

y1 = a0+a1*y2+a2*x1+a3*x2+a4*v2(hat) (where y1 obtain the values 0,1,2)

If i am right, should i then also bootstrapt the standard errors.

Best,

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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**Follow-Ups**:**Re: st: bootstraping two stages together***From:*"Austin Nichols" <austinnichols@gmail.com>

**References**:**st: bootstraping two stages together***From:*Danny Cohen-Zada <danoran@bgu.ac.il>

**Re: st: bootstraping two stages together***From:*"Austin Nichols" <austinnichols@gmail.com>

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