Dear Eric and Yiannis,
Both these two references are very helpful. I appreciate your help!
Xiang
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of DE SOUZA Eric
Sent: Monday, January 11, 2010 2:26 PM
To: '[email protected]'
Subject: st: RE: RE: RE: bootstrap on two equations
Dear Yiannis,
Actually it was Xiang (see below) who asked the question. I provided the reference. I had a quick look at Cameron and Trivedi, but I am not sure it is the same case (however, it was a quick look). If Xiang googles for the reference he will find a site from which he can download the article I mentioned. It contains some practical rules but I haven't studied the article to be able to reproduce them.
Eric
Eric de Souza
College of Europe
Brugge (Bruges)
Belgium
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Yiannis E. Spanos
Sent: 11 January 2010 19:35
To: [email protected]
Subject: st: RE: RE: bootstrap on two equations
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
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