Correcting Standard Errors in Two-Stage Estimation Procedures with Generated Regressands

The 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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Year of publication:	2003-04
Authors:	DUMONT, M. ; RAYP, G. ; WILLEMÉ, P. ; THAS, O.
Institutions:	Faculteit Economie en Bedrijfskunde, Universiteit Gent
Subject:	Generated regressands \| two-stage estimation

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Extent:	application/pdf
Series:	Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
Type of publication:	Book / Working Paper
Language:	English
Notes:	20 pages
Classification:	C12 - Hypothesis Testing ; C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004983032