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I'm trying to do an indirect 2SLS IV estimation by running first stage regression and second stage regression separately, allowing for different sets of controls. I need to adjust the standard errors estimated in the second stage in this case. Is there a way to manually calculating the residuals, and then use reghdfe to estimate the rest, e.g. C.I., p-value, standard errors, taking into account the fixed effects and clustering?
Here's an example without fixed effects and clustering SE. I don't know how to replicate this method with FEs and Clusters, however. Thank you so much for help or any insights!
The text was updated successfully, but these errors were encountered:
I'm trying to do an indirect 2SLS IV estimation by running first stage regression and second stage regression separately, allowing for different sets of controls. I need to adjust the standard errors estimated in the second stage in this case. Is there a way to manually calculating the residuals, and then use reghdfe to estimate the rest, e.g. C.I., p-value, standard errors, taking into account the fixed effects and clustering?
Here's an example without fixed effects and clustering SE. I don't know how to replicate this method with FEs and Clusters, however. Thank you so much for help or any insights!
![indirectIV_RMSE](https://user-images.githubusercontent.com/7417436/184417048-aaeaec93-a0ac-4361-8810-1842a0961535.jpg)
The text was updated successfully, but these errors were encountered: