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st: RE: RE: bootstrap on two equations

From   "Yiannis E. Spanos" <[email protected]>
To   [email protected]
Subject   st: RE: RE: bootstrap on two equations
Date   Mon, 11 Jan 2010 20:35:09 +0200

Dear Eric,

Cameron and Trivedi in their "Microeconometrics using Stata" might be of
help in your problem (see particularly section 13.4.5).



Dr Yiannis Spanos, Assistant Professor of Strategy
Athens University of Economics and Business (AUEB)
Department of Management Science and Technology
47A Evelpidon Street & 33 Lefkados Street,
113 62 Athens, Greece
Tel: + 210 8203 668, Fax: + 210 8828 078
"To salvage a general principle from a mass
of conflicting evidence can be both science
and poetry."
L. Durrell, Monsieur - The Avignon Quintet

-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of DE SOUZA Eric
Sent: Monday, January 11, 2010 7:41 PM
To: '[email protected]'
Subject: st: RE: bootstrap on two equations

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)

-----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. 


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