Dear statalisters,
Am trying to estimate a Probit Model where my main regressor is based on
predictions from another regression. Is there anything I should do to adjust
for the standard errors given that am using an estimated dependent variable?
As an alternative to the above model, I first instrument the same generated
regressor to correct for some potential endogeneity problems and then
reestimate the probit model. Here again my question would be if I need to
adjust the Standard Errors to validate my inferences. This would be akin to the
adjustment to the SE necessary in the second step of a 2SLS regression, only
this time it is the dependent variable (not the instrument) which has been
estimated. Am not sure how to proceed, but wanted to know, first, if any
adjusment is necessary at some stage? And if this is the case, can someone
point for me the stata commands that can do it, or alternatively applied papers
that deal with this issue.
Many thanks for any guidance.
Alejandro
--
Alejandro de la Fuente
Department of International Development/QEH
University of Oxford, Mansfield Road, Oxford OX1 3TB
Tel: 01865 281836
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