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st: Re: question inspired by ivreg2

From   Kit Baum <>
Subject   st: Re: question inspired by ivreg2
Date   Wed, 27 Aug 2008 08:14:31 -0400


Something like this should work:

webuse grunfeld,clear
ivreg2 invest (mvalue=kstock) year
bootstrap _b _se, reps(50): ivreg2 invest (mvalue=kstock) year


Kit Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:

On Aug 26, 2008, at 13:39 , Jordan Siegel wrote:

Dear Professor Baum,
Hope all's well. You had once kindly helped me with an econometrics question, and I was wondering if I could trouble you once more with a hopefully quick question. A colleague gave me the code below to implement ivreg2 with the bootstrap, but the code is for Stata 8 and won't work with the current Stata version. I can get the basic model below to work by instead using the newer gmm2s option and without the bootstrap. But is there a way to add the bootstrap (for the betas and the standard errors analogous to what is done below) to the ivreg2 command in the current version of Stata?
Many thanks for your time.

bootstrap "ivreg2 logrva $exoreg ($endoreg = $instr), gmm cluster(plant)" /*
*/ "_b[logunsklab] _b[logsklab] _b[logkapital]", cluster(plant) reps($nreps) level(95)

gen prod_WLP = logrva - (_b_bs_1*logunsklab + _b_bs_2*logsklab + _b_bs_3*logkapital)

Jordan Siegel
Associate Professor
Harvard Business School
Morgan Hall 231
Soldiers Field
Boston, MA 02163
Tel: (617) 495-6303
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