Simpler standard errors for two-stage optimization estimators revisited

Joseph Terza

Stata Journal, 2023, vol. 23, issue 4, 1057-1061

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.

Keywords: two-stage optimization estimators; standard errors; asymptotic theory; endogeneity; two-stage residual inclusion; sandwich estimator (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1177/1536867X231212445

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