IDEAS home Printed from https://ideas.repec.org/p/boc/usug20/12.html
   My bibliography  Save this paper

A gmm recipe to get standard errors for control function and other two-step estimators

Author

Listed:
  • Enrique Pinzon

    (StataCorp)

Abstract

It is common to use residuals from the first step of estimation as regressors in the second step. We are interested in the coefficients and effects of the second step. An example of these types of estimators is control function approach methods. Getting standard errors in these cases is challenging, and thus bootstrap methods are commonly used. I will illustrate how to use Stata's gmm command to obtain correct standard errors, using cross-sectional and panel-data examples. The GMM estimates give correct coverage and reduce computation time relative to commonly used bootstrap methods.

Suggested Citation

  • Enrique Pinzon, 2020. "A gmm recipe to get standard errors for control function and other two-step estimators," London Stata Conference 2020 12, Stata Users Group.
    • Handle: RePEc:boc:usug20:12
    as

    Download full text from publisher

    File URL: http://repec.org/usug2020/Pinzon_u20.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:usug20:12. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/stataea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.