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st: bootstrap two-stage logit


From   xueliansharon <xuelianstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: bootstrap two-stage logit
Date   Wed, 11 May 2011 07:41:25 -0700 (PDT)

Hi,

I want to estimate a logit model with one continuous endogenous explanatory
variable (educ), I have two instruments (moth and fath) in hand to address
the endogeneity, so I would like to use two-stage IV logit estimation. I
want to use bootstrap to return the point estimates of the two-stage logit
model and their bootstrap standard errors.

The following are my codes, but the returned bootstrapped standard errors
are the same to the SEs of second-stage logit model (which is wrong and
needs to corrected by bootstrap), i.e. the bootstrap didn't make any
difference in correcting the SEs of second-stage logit model. Can anyone
help me to figure out the mistake in the program? Many thanks!!!


use http://fmwww.bc.edu/ec-p/data/wooldridge/mroz.dta, clear
capture program drop myprog
prog myprog, eclass
 regress educ age kidslt6 kidsge6 city moth fath
 capture drop peduc
 predict peduc,xb
 logit inlf peduc age kidslt6 kidsge6 city
	tempvar touse
	tempname b V
	matrix `b'=e(b)
	matrix `V'=e(V)

	quietly gen byte `touse' = e(sample)
	ereturn post `b' `V', esample(`touse')
	ereturn local cmd "myprog"
end
bootstrap, reps(20) seed(1014): myprog

Regards,
Sharon


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