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

Author

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  • M. DUMONT
  • G. RAYP
  • P. WILLEMÉ
  • O. THAS
Abstract
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.

Suggested Citation

  • M. Dumont & G. Rayp & P. Willemé & O. Thas, 2003. "Correcting Standard Errors in Two-Stage Estimation Procedures with Generated Regressands," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 03/172, Ghent University, Faculty of Economics and Business Administration.
    • Handle: RePEc:rug:rugwps:03/172
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    References listed on IDEAS

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    20. Ott, Ingrid & Papilloud, Christian & Zülsdorf, Torben, 2008. "What drives innovation? Causes of and Consequences for nanotechnologies," Kiel Working Papers 1455, Kiel Institute for the World Economy (IfW Kiel).
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    More about this item

    Keywords

    Generated regressands; two-stage estimation;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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