Calculating Murphy–Topel Variance Estimates in Stata: A Simplified Procedure

Abstract

Building on the work by Hardin (Stata Journal 2: 253–266), this note shows how the calculation of the Murphy–Topel variance estimator for two-step models can be simplified in Stata by using the scores option of predict.

Keywords

st0114 two-step estimation Murphy-Topel estimator

References

Greene

W. H.

2003. Econometric Analysis. 5th ed. Upper Saddle River, NJ: Prentice Hall.

Hardin

J. W.

2002. The robust variance estimator for two-stage models. Stata Journal 2: 253–266.

Murphy

K. M.

, and Topel

R. H.

1985. Estimation and inference in two-step econometric models. Journal of Business and Economic Statistics 3: 370–379.