Are both regressions linear? if so just use ivreg or ivreg2. Otherwise
you'll have to program your own code to create your valid varcov
matrix
robert
On 7/6/06, hua sun <[email protected]> wrote:
Dear Stata users,
Does anybody know whether Stata has a command to deal with the generated
regressor problem? I have a two stage regression in which the second
regression will use some regressors that are estimated based on the first
one. I think I should correct the varaince-covariance matrix to make my
inference valid.
Thank you very much for the information.
Cheers
Hua
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