Correcting Standard Errors in Two-Stage Estimation Procedures with Generated Regressands
AbstractThe procedure proposed by Feenstra and Hanson (1997) to correct the standard errors in a two-stage regression with generated dependent variables does not guarantee positive variances. We propose a modified correction procedure such that standard errors can always be computed.
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Bibliographic InfoPaper provided by Ghent University, Faculty of Economics and Business Administration in its series Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium with number 03/172.
Length: 20 pages
Date of creation: Apr 2003
Date of revision:
Generated regressands; two-stage estimation;
Other versions of this item:
- Michel Dumont & Glenn Rayp & Olivier Thas & Peter Willemé, 2005. "Correcting Standard Errors in Two-stage Estimation Procedures with Generated Regressands," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(3), pages 421-433, 06.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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