Simpler standard errors for two-stage optimization estimators revisited

• Autores: Joseph V. Terza
• Localización: The Stata journal, ISSN 1536-867X, Vol. 23, Nº. 4, 2023, págs. 1057-1061
• Idioma: inglés
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• Resumen

  • “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.