AbstractBuilding 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.Keywordsst0114two-step estimationMurphy-Topel estimatorReferences1. Greene W. H. 2003. Econometric Analysis. 5th ed. Upper Saddle River, NJ: Prentice Hall.2. Hardin J. W. 2002. The robust variance estimator for two-stage models. Stata Journal 2: 253–266.3. 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.
