On 8/25/06, Guido Heineck <[email protected]> wrote:
There is a reason for my need to bootstrap the standard errors: The covariates in local foo
(the ones I want to calculate the marginal effects for) are variables that are predicted from a
'first step' regression. My understanding is that I have to account for this but that estimating
robust standard errors may not be sufficient.
I wonder if in such a situation bootstrapping the second step is
sufficient. I think that you
should include the first step into the bootstrap as well.
jean
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