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RE: st: re: How to correct standard errors of a 2sls performed by
From
Anne-Sophie Bergerès <[email protected]>
To
<[email protected]>
Subject
RE: st: re: How to correct standard errors of a 2sls performed by
Date
Wed, 17 Feb 2010 23:07:03 +0100
Thank you for your answers.
However can i use cmp if i want to do a logistic in the first stage ?
I have this type of model
y1 = bo+ b1X1 + b2X2 + b3X3+ ...+ e1
y2 = b0 + b4y1 +....+ e2
where y1 is binary. So i have a dummy endogeneous variable and my model is over-identified.
I need to run my 2sls with a logistic in the first step and not an ols (as in ivreg2)
So i have decided to do it by hand.
1- run logistic of y1 on all exogenous variables of the models + instruments
2- save residuals
3- run y2 on variables in the equation + res.
But i need to correct the standard errors in order to do an hausman et sargan test also by hand.
Cmp would do that ? it does not seem to take into account logistic.
Or can i use vce(bootstrap) ?
I am really not sure of what to do and to get the logic behind corrected standard error.
I thank you very much in advance (again).
Regards
Anne-Sophie
> From: [email protected]
> Subject: st: re: How to correct standard errors of a 2sls performed by
> Date: Fri, 5 Feb 2010 19:56:56 -0500
> To: [email protected]
>
> <>
> Annie-Sophie said
>
> In fact i use a logistic in the first step and ols in the second. I have one endogeneous binary variable. Therefore should i use bootstrap ? Is it sufficient to use vce (bootstrap ) ?
>
> -findit cmp-
>
> 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
>
>
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