If you do the estimation m,anually by substituting the predicted value of a predictor into an equation for the second-stage estimation, the software will treat that predicted value as a true observed value, ignoring the fact that there is some uncertainty surrounding the prediction in the first stage. Consequently the second-stage estimation is going to produce estimates with standard errors that are too small. A question that one might ask is why you want to do this manually. David Greenberg, Sociology Department, New York University
----- Original Message -----
From: Leda Inga <[email protected]>
Date: Monday, June 9, 2008 7:19 pm
Subject: st: About the consequence of doing a two step estimation manually
To: [email protected]
> Dear statalisters:
>
> I've tried to found a way to do a correct two step estimation but
> haven't found an answer. I have an explanatory variable correlated
> with the error term and that variable enters the model also with a
> square term. I know that if the estimation is done manually the betas
> are still consistent and that the problem is the standard errors are
> not correctly calculated. What I would like to know is if the standard
> errors are subestimated or overestimaded? The pvalue of one of the
> regressors of my model is very high and would like to know if the true
> pvalue is higher or lower.
>
> Thanks in advance.
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