2sls Standard Error
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2sls Standard Error Correction
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Correcting Standard Errors In Two-stage
can answer The best answers are voted up and rise to the top Standard errors of a two stage least squares regression, Stata up vote 3 down vote favorite 1 I use Stata. I am trying to replicate the ivreg output of a regression performing manually the first stage, predicting the instrument after the first stage and running the second stage regression with the instrument in place of the
Two Stage Least Squares Standard Errors
endogenous regressor in the structural model. Naturally, the standard errors of my second stage regression do not take into account the fact that I am using an estimated regressor: they are different from those in the output of the ivreg command. My question is: How could I obtain reliable inference without using the ivreg command? IS there an option I should add to the second stage regression to have reliable standard errors? If not, how could I obtain reliable standard errors starting from the second stage manual regression? econometrics stata standard-error instrumental-variables share|improve this question edited Dec 2 '14 at 19:20 Andy 11.7k114671 asked Dec 2 '14 at 18:13 Charlie 201310 add a comment| 2 Answers 2 active oldest votes up vote 6 down vote accepted The relevant formula is $$\mathbb{Var}(\beta_{IV})=\sigma^2 \cdot (X'P_{Z}X)^{-1},$$ where $$\sigma^2 = (y-X\beta_{IV})'(y-X\beta_{IV})/(n-k_{SS}),$$ and $$P_Z = Z \, (Z'Z)^{-1} Z',$$ and $k_{SS}$ is the number of regressors in the second stage. Some people will just use $n$ or $n-k_{FS}$ since the choice does not matter asymptotically. Kit Baum has code in this thread on Old Statalist. I've tweaked it slightly to use ivregress rather than ivreg2: // how to fix 2SLS estimates done 'by hand' sysuse auto, clear ivregress 2sls pric
Brachet , University of
2sls Regression
Pennsylvania Download Abstract Since SAS doesn't offer a 2SLS procedure instrumental variable exclusion restriction that allows for clustered standard errors, this macro develops an equivalent algorithm based on SAS's available http://stats.stackexchange.com/questions/126313/standard-errors-of-a-two-stage-least-squares-regression-stata procedures. The steps are as follows: [1] estimate the first stage by OLS and save the endogenous variable's predicted values (PROC REG); [2] estimate the structural equation as usual and save the https://works.bepress.com/tbrachet/2/ 2SLS residuals (PROC SYSLIN); [3] merge the dataset containing the first stage predictions with that containing the 2SLS residuals; [4] regress the 2SLS residuals on the 1st stage predicted values and all other exogenous variables, clustering the standard errors by the cluster variable (PROC SURVEYREG). The standard errors reported in step [4] are the clustered 2SLS standard errors. Keywords Clustered 2SLS in SAS Publication Date April, 2007 Citation Information Related FilesDocumentation.pdf (79 KB) Documentation is a trademark of bepress. Copyright 1999–2016 bepress.™ All rights reserved. Contact Us Terms of Service Copyright Privacy User Guide BacktoTop
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