Dear Eric,
Cameron and Trivedi in their "Microeconometrics using Stata" might be of
help in your problem (see particularly section 13.4.5).
Regards,
Yiannis
*************************************************
Dr Yiannis Spanos, Assistant Professor of Strategy
Athens University of Economics and Business (AUEB)
Department of Management Science and Technology
47A Evelpidon Street & 33 Lefkados Street,
113 62 Athens, Greece
Tel: + 210 8203 668, Fax: + 210 8828 078
************************
"To salvage a general principle from a mass
of conflicting evidence can be both science
and poetry."
L. Durrell, Monsieur - The Avignon Quintet
******************************************************
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of DE SOUZA Eric
Sent: Monday, January 11, 2010 7:41 PM
To: '[email protected]'
Subject: st: RE: bootstrap on two equations
The classic reference for this issue is the article:
Adrian Pagan, Econometric Issues in the Analysis of Regressions with
Generated Regressors, International Economic Review, Vol. 25, No. 1. (Feb.,
1984), pp. 221-247
Eric de Souza
College of Europe
Brugge (Bruges)
Belgium
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Xiang Ao
Sent: 11 January 2010 18:17
To: [email protected]
Subject: st: bootstrap on two equations
Dear Statalisters,
We are running a model with a residual estimated from another equation as a
regressor. We probably need to adjust the standard error by bootstrapping.
We think we need to include both equations in each bootstrap estimation.
Does anyone know of a reference of this? I don't remember Wooldridge or
Greene talk about this in their books.
Thanks,
Xiang
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
