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


From   Anne-Sophie Bergerès <macadamianesofie@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: re: How to correct standard errors of a 2sls performed by hand ?
Date   Sat, 6 Feb 2010 00:28:56 +0100

Thank you kit !
 
In fact i use a logistic in the first step and ols in the second. I have one endogeneous binary variable. Therefore should i use bootstrap ?  Is it sufficient to use vce (bootstrap ) ?



Anne-Sophie 




----------------------------------------
> From: baum@bc.edu
> Subject: st: re: How to correct standard errors of a 2sls performed by hand ?
> Date: Fri, 5 Feb 2010 17:11:11 -0500
> To: statalist@hsphsun2.harvard.edu
>
> <>
> No need to do any bootstrapping if it is just linear regression:
>
> // how to fix 2SLS estimates done 'by hand'
> sysuse auto, clear
> ivreg2 price (weight = turn foreign) headroom, small
> estat vce
> di e(rmse)
> mat v2sls = e(V)
> // First stage reg
> qui reg weight turn foreign headroom
> predict double what, xb
> // Second stage reg
> qui reg price what headroom
> scalar rmsebyhand = e(rmse)
> // the 'wrong' VCE, calculated from the instruments
> mat vbyhand = e(V)
> scalar dfk = e(df_r)
> // the correct resids: orig regressors * second stage coeffs
> g double eps2 = (price - _b[what]*weight - _b[headroom]*headroom - _b[_cons])^2
> qui su eps2
> // corrected RMSE, based on the correct resids
> scalar rmsecorr = sqrt(r(sum) / dfk)
> // corrected VCE, using the right s^2
> mat vcorr = (rmsecorr / rmsebyhand)^2 * vbyhand
> mat li vcorr
> // check to see that it equals the real 2SLS VCE
> mat diff = v2sls - vcorr
> mat li diff
>
>
> Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
> An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
> An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
>
>
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