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st: 2 step 2SLS with robust standard errors

From   "Henrik Andersson" <[email protected]>
To   <[email protected]>
Subject   st: 2 step 2SLS with robust standard errors
Date   Tue, 22 Mar 2005 11:14:54 +0100


I am estimating a 2SLS where the second stage regression is nonlinear
(.nl). I therefore conduct the 2SLS in two steps correcting the
variance-covariance matrix with the procedure on .

I now want to estimate with robust standar errors. Estimating .nl in the
second step with robust s.e. and then correcting the var-covar matrix as
above does not give the correct result. Does anyone know how to get
robust standard errors when the 2SLS is estimated "manually" in two
separate steps?

Best regards

Henrik Andersson

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