Dear stata-list users:
I am estimating a two-stage model: Probit in the first stage, gls in the
second.
I derive the sandwich estimate of variance to obtain corrected standard
errors for the second stage following the description in:
Hardin, J.W.: The robust variance estimator for two-stage models. The
Stata Journal (2002) 2, No. 3, pp. 253-266
My problem is that I want to include two generated regressors in the
second stage.
P = bX + cS_hat + dC_hat + e
where P-hat and C_hat are generated from two seperate probit models in the
first stage. (X is a matrix of exogenous vars, and b, c, d are unknown
vectors of parameters, and e is an error term)
Can anybody help me on how to adjust Hardin's equation for the sandwich
estimate of variance to account for a second generated regressor in the
second stage? Any suggestions will be very much appreciated.
Thank you
Meike
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