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st: RE: bootstrap on two equations


From   DE SOUZA Eric <[email protected]>
To   "'[email protected]'" <[email protected]>
Subject   st: RE: bootstrap on two equations
Date   Mon, 11 Jan 2010 18:40:30 +0100

The classic reference for this issue is the article:
Adrian Pagan, Econometric Issues in the Analysis of Regressions with Generated Regressors, International Economic Review, Vol. 25, No. 1. (Feb., 1984), pp. 221-247


Eric de Souza
College of Europe
Brugge (Bruges)
Belgium

-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Xiang Ao
Sent: 11 January 2010 18:17
To: [email protected]
Subject: st: bootstrap on two equations

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. 

Thanks,

Xiang
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