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st: RE: RE: RE: RE: bootstrap on two equations


From   "Ao, Xiang" <[email protected]>
To   "[email protected]" <[email protected]>
Subject   st: RE: RE: RE: RE: bootstrap on two equations
Date   Mon, 11 Jan 2010 15:38:55 -0500

Dear Eric and Yiannis,

Both these two references are very helpful.  I appreciate your help!

Xiang

-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of DE SOUZA Eric
Sent: Monday, January 11, 2010 2:26 PM
To: '[email protected]'
Subject: st: RE: RE: RE: bootstrap on two equations

Dear Yiannis,

Actually it was Xiang (see below) who asked the question. I provided the reference. I had a quick look at Cameron and Trivedi, but I am not sure it is the same case (however, it was a quick look). If Xiang googles for the reference he will find a site from which he can download the article I mentioned. It contains some practical rules but I haven't studied the article to be able to reproduce them.

Eric 


Eric de Souza
College of Europe
Brugge (Bruges)
Belgium

-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Yiannis E. Spanos
Sent: 11 January 2010 19:35
To: [email protected]
Subject: st: RE: RE: bootstrap on two equations

Dear Eric,

Cameron and Trivedi in their "Microeconometrics using Stata" might be of help in your problem (see particularly section 13.4.5).

Regards,

Yiannis 

*************************************************
Dr Yiannis Spanos, Assistant Professor of Strategy Athens University of Economics and Business (AUEB) Department of Management Science and Technology 47A Evelpidon Street & 33 Lefkados Street,
113 62 Athens, Greece
Tel: + 210 8203 668, Fax: + 210 8828 078
************************
"To salvage a general principle from a mass of conflicting evidence can be both science and poetry."
L. Durrell, Monsieur - The Avignon Quintet
******************************************************

-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of DE SOUZA Eric
Sent: Monday, January 11, 2010 7:41 PM
To: '[email protected]'
Subject: st: RE: bootstrap on two equations

The classic reference for this issue is the article:
Adrian Pagan, Econometric Issues in the Analysis of Regressions with Generated Regressors, International Economic Review, Vol. 25, No. 1. (Feb., 1984), pp. 221-247


Eric de Souza
College of Europe
Brugge (Bruges)
Belgium

-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Xiang Ao
Sent: 11 January 2010 18:17
To: [email protected]
Subject: st: bootstrap on two equations

Dear Statalisters,

We are running a model  with a residual estimated from another equation as a regressor.  We probably need to adjust the standard error by bootstrapping.
We think we need to include both equations in each bootstrap estimation.
Does anyone know of a reference of this?  I don't remember Wooldridge or Greene talk about this in their books. 

Thanks,

Xiang
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