Dear all,
I am wondering which method is used in the ivreg command to estimate the standard errors of the second stage... Are they estimated by a bootstrap method ?
I need to know this in order to perform a 2stage IV analysis by hand. I know I can't just use the standard errors from the second stage, as they do not take into account the uncertaincy in the first stage regression.
Thanks in advance for your answers and help !
I am wondering which method is used in the ivreg command to estimate the standard errors of the second stage... Are they estimated by a bootstrap method ?
I need to know this in order to perform a 2stage IV analysis by hand. I know I can't just use the standard errors from the second stage, as they do not take into account the uncertaincy in the first stage regression.
Thanks in advance for your answers and help !