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From | Austin Nichols <austinnichols@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: Standard error correction when using control function approach to endogeneity |
Date | Tue, 18 Jun 2013 14:27:22 -0400 |
Johannes Muck <Johannes.Muck@dice.uni-duesseldorf.de>: 1) yes, just run these to get the same answers: ivreg y1 x1 x2 (y2 = z1 z2) ivregress 2sls y1 x1 x2 (y2 = z1 z2) ssc inst ivreg2 ivreg2 y1 x1 x2 (y2 = z1 z2) 2) yes, you can bootstrap the whole thing, but why would you? On Tue, Jun 18, 2013 at 11:31 AM, Johannes Muck <Johannes.Muck@dice.uni-duesseldorf.de> wrote: > Dear all, > > I am trying to fit a linear regression model with one endogenous variable > using the control function approach (two stage residual inclusion estimator) > as described in Wooldridge (2010, pp. 126-129). > > More specifically, I estimate something like: > > (1) reg y2 x1 x2 z1 z2 > (2) predict uhat, res > (3) reg y1 y2 x1 x2 uhat > > where y1 is my dependent variable of interest, y2 is the endogenous > variable, x1 and x2 are exogenous explanatory variables, and z1 and z2 are > valid instruments for y2. > > Since the fitted residual from the first stage is included in the second > stage regression as an additional regressor, the standard errors need be to > corrected. Wooldridge (2010, pp. 157-160) derives the formula for the > corrected standard errors in his book in Appendix 6A, equation (6.58). > > Now my two questions are: > > (1) Has someone already implemented this standard error correction in Stata > or do I have to calculate equation (6.58) in Appendix 6A manually? > > (2) Could I also obtain a "standard error correction" by bootstrapping > equations (1)-(3)? > > > Any help is greatly appreciated. > > Best, > > Johannes Muck > > References: > Wooldridge, J. M. (2010), Econometric Analysis of Cross Section and Panel > Data, 2nd edition, MIT Press, Cambridge MA. > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/