Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: re: How to correct standard errors of a 2sls performed by
From
Kit Baum <[email protected]>
To
[email protected]
Subject
st: re: How to correct standard errors of a 2sls performed by
Date
Fri, 5 Feb 2010 20:02:27 -0500
<>
John wrote
How would one deal with systems of equations (i.e., reg3) and
concurrently have heteroskedastic-robust standard errors? Would
bootstrapping with reg3 just be the simplest solution?
In the absence of cross-equation constraints, just estimate each equation with single-equation methods, i.e. -ivregress- or -ivreg2- using robust or cluster-robust VCE. Nothing is lost in doing so beyond a possible gain in efficiency.
Kit
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
*
* 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/