2sls Standard Error Correction
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standard errors of a 2sls performed by hand ? Date Fri, 5 Feb 2010 17:11:11 -0500 <> No need to do correcting standard errors in two-stage any bootstrapping if it is just linear regression: // how to difference between iv and 2sls fix 2SLS estimates done 'by hand' sysuse auto, clear ivreg2 price (weight = turn foreign) headroom, small
Two Stage Least Squares Standard Errors
estat vce di e(rmse) mat v2sls = e(V) // First stage reg qui reg weight turn foreign headroom predict double what, xb // Second stage reg qui reg
2sls Estimator
price what headroom scalar rmsebyhand = e(rmse) // the 'wrong' VCE, calculated from the instruments mat vbyhand = e(V) scalar dfk = e(df_r) // the correct resids: orig regressors * second stage coeffs g double eps2 = (price - _b[what]*weight - _b[headroom]*headroom - _b[_cons])^2 qui su eps2 // corrected RMSE, based on the correct resids scalar rmsecorr 2sls regression = sqrt(r(sum) / dfk) // corrected VCE, using the right s^2 mat vcorr = (rmsecorr / rmsebyhand)^2 * vbyhand mat li vcorr // check to see that it equals the real 2SLS VCE mat diff = v2sls - vcorr mat li diff 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/ Follow-Ups: RE: st: re: How to correct standard errors of a 2sls performed by hand ? From: Anne-Sophie Bergerès
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