Dear Stata experts,
I decided to run IV regression by hand. In the first stage, I regress my endogenous variable y on the instrument z and dependent variables a,b,c
In the second stage, I want to run the regression on my dependent variable and predicted endogenous variables, variables a,b,c, and lags of a,b,c.
I think it isn't like in econometrics books, but in line with the economic theory, it makes sense.
I realized that standard errors obtained in the second stage might not be correct. As a result, I cannot interpret p-values. I read something about bootstrapping that I can do it so that I obtain the right standard errors. Can someone tell me how to do it in Stata?
I would also be grateful for some scientific articles about this issue
I decided to run IV regression by hand. In the first stage, I regress my endogenous variable y on the instrument z and dependent variables a,b,c
In the second stage, I want to run the regression on my dependent variable and predicted endogenous variables, variables a,b,c, and lags of a,b,c.
I think it isn't like in econometrics books, but in line with the economic theory, it makes sense.
I realized that standard errors obtained in the second stage might not be correct. As a result, I cannot interpret p-values. I read something about bootstrapping that I can do it so that I obtain the right standard errors. Can someone tell me how to do it in Stata?
I would also be grateful for some scientific articles about this issue
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