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RE: st: RE: How to correct standard errors of a 2sls performed by hand ?


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: How to correct standard errors of a 2sls performed by hand ?
Date   Fri, 5 Feb 2010 22:40:43 +0100

<>

Not sure what you mean, you can open the file with any text editor, in spite
of the file type ".do". Anyway:

*******
* Program to return b for Heckman 2-step estimator of selection model 
program hecktwostep, eclass
  version 10.1
  tempname b V
  tempvar xb 
  capture drop invmills
  probit dy $xlist
  predict `xb', xb
  generate invmills = normalden(`xb')/normprob(`xb')
  regress lny $xlist invmills
  matrix `b' = e(b)
  ereturn post `b' 
end

// Following not included in book
* Check preceding program by running once
hecktwostep
ereturn display

* Bootstrap for Heckman two-step estimator using chapter 16 example
bootstrap _b, reps(400) seed(10101) nodots nowarn: hecktwostep

// Following not included in book
* Check results
heckman lny $xlist, select(dy = $xlist) twostep
*******


HTH
Martin


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Anne-Sophie
Bergerès
Sent: Freitag, 5. Februar 2010 22:22
To: statalist@hsphsun2.harvard.edu
Subject: RE: st: RE: How to correct standard errors of a 2sls performed by
hand ?

Thank you for your answer Martin. 
However, the file mus13p1bootstrap.do does not work on my stata. Would you
be able to copy the lines 116-139 for me please ?
 
I thank you in advance for your help.



Anne-Sophie 






----------------------------------------
> From: martin.weiss1@gmx.de
> To: statalist@hsphsun2.harvard.edu
> Subject: st: RE: How to correct standard errors of a 2sls performed by
hand ?
> Date: Fri, 5 Feb 2010 21:53:30 +0100
>
>
> <>
>
> 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: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Anne-Sophie
> Bergerès
> Sent: Freitag, 5. Februar 2010 21:46
> To: statalist@hsphsun2.harvard.edu
> 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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