Hello,
I hope you guys can help me. I have a question if there is a package availabe that allows to correct for the standard errors of a generated regressor. The Data I have is survey with several years of observations from individuals. I take only one year to generate a regressor in the first stage where:
wit=alpha+Xit
and in the second stage I regress on:
Yit=wit_hat
I don't know how use bootstrap in this case and wonder if there is a certain package available for this problem?
Thanks in advance!