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st: bootstrap on two equations

From   Xiang Ao <[email protected]>
To   [email protected]
Subject   st: bootstrap on two equations
Date   Mon, 11 Jan 2010 12:17:11 -0500

Dear Statalisters,

We are running a model with a residual estimated from another equation as a regressor. We probably need to adjust the standard error by bootstrapping. We think we need to include both equations in each bootstrap estimation. Does anyone know of a reference of this? I don't remember Wooldridge or Greene talk about this in their books.

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