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st: Murphy-Topel estimation in linear model


From   <[email protected]>
To   [email protected]
Subject   st: Murphy-Topel estimation in linear model
Date   Fri, 15 Jun 2007 23:06:40 +0100 (GMT+01:00)

Dear statalisters,

I red both the Hardin's and Hole's articles, but 
I 
need an help for the following two step model:

First step:

y=alpha+beta*x+e

Second step:

z=gamma*alphahat+b'x'+e'

where the 
parameter of interest is gamma. If I use this 2-step model it'll 
result 
in an underestimation of the errors, so I need to use the 
Murphy and 
Topel estimation for the standard errors.  This is 
different from what 
I saw in the article, so may you help me please?

Thank you 
M.


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