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st: RE: standard errors after ivtobit


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: standard errors after ivtobit
Date   Tue, 11 Nov 2008 00:12:51 -0000

Rike,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Rike
> Sent: 10 November 2008 23:35
> To: statalist
> Subject: st: standard errors after ivtobit
> 
> Hi,
> 
> I've been trying to find an answer to this but I couldn't so 
> here I go.

Did you check the manuals?  There is (almost?) always a "Methods and
Formulas" section in the entry for an estimator.

> Using the twostep ivtobit regression, the standard errors are not
> correct because in the second stage you are regressing y on the
> predicted error from the second stage regression (among other things).

No, the SEs are fine.  If you do two-step "by hand" you have to adjust
the SEs, but Stata's built-in -ivtobit- (like just about all Stata
commands) does this for you.

> My questions:
> 1) Are the reported standard errors already adjusted? If not, is there
> a simple option/command that I can use? I need the correct standard
> errors for t-statistics.
> 
> 2) what about the mfx command? Can this be taken at face value or does
> it also need some kind of adjustment?

Same answers as above (but see the discussion of the -nonlinear- option
in the online -help mfx-).

Cheers,
Mark

> Thanks.
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