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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 > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ _________________________________________________________________ Nouveau ! Tout Windows Live débarque dans votre téléphone. Voir les Windows phone http://clk.atdmt.com/FRM/go/175819071/direct/01/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: re: How to correct standard errors of a 2sls performed by hand ?***From:*Kit Baum <baum@bc.edu>

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