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You may want to look at http://www.stata-press.com/data/mus/mus.zip, file
mus13p1bootstrap.do, lines 116-139. There, the authors demonstrate a
procedure similar to what you want to achieve. The solution in this case is
a -bootstrap-.
HTH
Martin
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Anne-Sophie
Bergerès
Sent: Freitag, 5. Februar 2010 21:46
To: [email protected]
Subject: st: How to correct standard errors of a 2sls performed by hand ?
I have to compute a 2sls by hand. The estimated coefficients are the same
than using ivreg2. However, the standard errors are different. How can i
correct this in stata ? would you have a suggestion of code ?
I need this in order to perform a Sargan test by hand as well
I thank you very much in advance !
Anne-Sophie
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