Correcting Standard Errors in Two‐stage Estimation Procedures with Generated Regressands*
指出Feenstra和Hanson提出的两阶段回归标准误修正方法存在负偏误，导致显著性被高估，并提出无偏修正方法，应用于工资和技术变革模型。
Abstract Feenstra and Hanson [NBER Working Paper No. 6052 (1997)] propose a procedure to correct the standard errors in a two‐stage regression with generated dependent variables. Their method has subsequently been used in two‐stage mandated wage models [Feenstra and Hanson, Quarterly Journal of Economics (1999) Vol. 114, pp. 907–940; Haskel and Slaughter, The Economic Journal (2001) Vol. 111, pp. 163–187; Review of International Economics (2003) Vol. 11, pp. 630–650] and for the estimation of the sector bias of skill‐biased technological change [Haskel and Slaughter, European Economic Review (2002) Vol. 46, pp. 1757–1783]. Unfortunately, the proposed correction is negatively biased (sometimes even resulting in negative estimated variances) and therefore leads to overestimation of the inferred significance. We present an unbiased correction procedure and apply it to the models reported by Feenstra and Hanson (1999) and Haskel and Slaughter (2002) .