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

Enrique Pinzon
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Enrique Pinzon: StataCorp

London Stata Conference 2020 from Stata Users Group

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.

Date: 2020-09-11
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Persistent link: https://EconPapers.repec.org/RePEc:boc:usug20:12

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