Hi,
I've been trying to find an answer to this but I couldn't so here I go.
Using the twostep ivtobit regression, the standard errors are not
correct because in the second stage you are regressing y on the
predicted error from the second stage regression (among other things).
My questions:
1) Are the reported standard errors already adjusted? If not, is there
a simple option/command that I can use? I need the correct standard
errors for t-statistics.
2) what about the mfx command? Can this be taken at face value or does
it also need some kind of adjustment?
Thanks.
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