st: instrumental variables with xtpcse

["Skidmore, Mark" <mskidmor@anr.msu.edu>]

I have estimated a two-stage regression using the following commands:

. xtpcse lntifvalue cityshare lnpop effectivefullvaluerate residential_share year5-year17, correlation(ar1) pairwise
. predict xb
. xtpcse lnvalueexcludingtif xb lnpop effectivefullvaluerate residential_share year5-year17, correlation(ar1) pairwise

However, the standard errors in this two-step procedure are incorrect.� I thought I might be able to obtain the correct standard errors using the VCE bootstrapping option.� While the VCE option is available for the xtreg command, it appears that the VCE option is not available for the xtpcse command.� Has anybody utilized the bootstrapping technique in conjunction with the xtpcse command?� Any other ideas for how best to obtain the correct standard errors in this context?� Your suggestions would be very much appreciated.

Mark



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