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Simpler standard errors for two-stage optimization estimators revisited

Author

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  • Joseph V. Terza

    (Indiana University–Purdue University Indianapolis)

Abstract

“Simpler standard errors for two-stage optimization estimators” (Terza, 2016a, Stata Journal 16: 368–385) offers an analytic simplification of the daunting textbook formulations of the asymptotic variance–covariance matrix of a class of two-stage optimization estimators. Here I revisit that simplification and show that it applies to a much broader class of estimators than was originally considered. I also offer a correction that further enhances the generality of this asymptotic variance–covariance matrix formulation. These points are illustrated via a real-data application.

Suggested Citation

  • Joseph V. Terza, 2023. "Simpler standard errors for two-stage optimization estimators revisited," Stata Journal, StataCorp LP, vol. 23(4), pages 1057-1061, December.
    • Handle: RePEc:tsj:stataj:v:23:y:2023:i:4:p:1057-1061
    DOI: 10.1177/1536867X231212445
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