Hello,

I have the fitted values of a regression to be used as a regressor for another set of regressions. I've been told that I need to be careful with the generated regressor problem and I might need to correct my standard errors by bootstrapping. The regressor I generate is the difference between the fitted/predicted values and the actual values.

I tried reading the related section in Stata but did not really understand. How and why I need to perform the bootstrapping task?

Thanks!