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Re: st: booststraping in two stage models
I will give you an example why it matters if the two procedures are
equivalent. Suppose that i have an ivprobit model with clustering. The
ivprobit, two step does not allow to cluster. In this case i have to do it
by hand. I did it as you suggest. Then, i took the regular case (without
clastering) and found that the two procedures give different results. What
do you think?
Best,
Danny
----- Original Message -----
From: "Leonor Saravia" <[email protected]>
To: <[email protected]>
Sent: Tuesday, March 11, 2008 8:26 PM
Subject: Re: st: booststraping in two stage models
Danny,
Stata has the ivprobit command, which allow you to calculate the
bootstrapped standard errors. So you can estimate your model using it:
ivprobit, vce(boot)
Also, you can do it by hand:
1) estimate the first stage.
2) use predict, pp
3) estimate the second stage by probit (in which we substiture pp instead
of the endogenous regressor). Here you can use the - vce(boot) - option
I hope this help,
Leonor
2008/3/11, Danny Cohen-Zada <[email protected]>:
Leonor,
Thank you very much for the quick reply
I am asking about the standard errors. How should i obtain the correct
standard errors of the second stage? Don't my procedure produce the
correct
standard errors?
Thanks
----- Original Message -----
From: "Leonor Saravia" <[email protected]>
To: <[email protected]>
Sent: Tuesday, March 11, 2008 7:17 PM
Subject: Re: st: booststraping in two stage models
> Danny,
>
> The procedure you give is correct, you only need to correct the
> standard errors of the second stage.
>
> Leonor
>
> 2008/3/11, Danny Cohen-Zada <[email protected]>:
>> I have a question that is relevant to all two stage models. For
>> example,
>> take the ivprobit model. If for any reason i want to obtian
>> bootstraped
>> standard errors. Can i do the following procedure.
>>
>> 1) estimate the first stage.
>> 2) use predict, pp
>> 3) estimate the second stage by probit (in which we substiture pp
>> instead
>> of
>> the endogenous regressor) using the vce(boot) option.
>>
>> Will this be correct or should i bootstrapct the two stages together.
>> If
>> i
>> must bootstrapt the two stages together, how should i do it?
>>
>> thanks,
>>
>> Danny
>>
>>
>>
>> Dr. Danny Cohen-Zada
>> Department of Economics
>> Ben-Gurion University of the Negev
>> P.O.Box 653
>> Beer-Sheva 84105
>> Israel
>>
>> Tel: +972-8-6472301
>> Fax: +972-8-6472941
>>
>> http://www.econ.bgu.ac.il/facultym/danoran/main.htm
>>
>> *
>> * For searches and help try:
>> * http://www.stata.com/support/faqs/res/findit.html
>> * http://www.stata.com/support/statalist/faq
>> * http://www.ats.ucla.edu/stat/stata/
>>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
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*
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* http://www.ats.ucla.edu/stat/stata/
*
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* http://www.ats.ucla.edu/stat/stata/