st: Re: question inspired by ivreg2

[Kit Baum <baum@bc.edu>]

Jordan,

Something like this should work:

webuse grunfeld,clear
ivreg2 invest (mvalue=kstock) year
bootstrap _b _se, reps(50): ivreg2 invest (mvalue=kstock) year

Cheers
Kit

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On Aug 26, 2008, at 13:39 , Jordan Siegel wrote:

> Dear Professor Baum,
> Hope all's well.  You had once kindly helped me with an econometrics  
> question, and I was wondering if I could trouble you once more with  
> a hopefully quick question.  A colleague gave me the code below to  
> implement ivreg2 with the bootstrap, but the code is for Stata 8 and  
> won't work with the current Stata version.  I can get the basic  
> model below to work by instead using the newer gmm2s option and  
> without the bootstrap.  But is there a way to add the bootstrap (for  
> the betas and the standard errors analogous to what is done below)  
> to the ivreg2 command in the current version of Stata?
> Many thanks for your time.
> Sincerely,
> Jordan
>
> bootstrap "ivreg2 logrva $exoreg ($endoreg = $instr), gmm  
> cluster(plant)" /*
>  */ "_b[logunsklab] _b[logsklab] _b[logkapital]", cluster(plant)  
> reps($nreps) level(95)
>
> gen prod_WLP = logrva - (_b_bs_1*logunsklab + _b_bs_2*logsklab +  
> _b_bs_3*logkapital)
>
>
>
>
> _____________________________________________________
> Jordan Siegel
> Associate Professor
> Harvard Business School
> Morgan Hall 231
> Soldiers Field
> Boston, MA 02163
> Tel: (617) 495-6303
> E-mail: jsiegel@hbs.edu
> Web: http://www.people.hbs.edu/jsiegel/
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