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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