Generated regressors problem when estimating a series of local projections

[Alessandro Franconi]

Hi all, I would need help in bootstrapping the residuals to overcome the "generated regressors problem" when estimating a series of local projections. This is what I currently have:

forvalues i = 1/16 {

ivreg2 f`i'g `instrument1' `instrument2' L(1/4).`instrument1' L(1/4).`instrument2', robust bw(auto)
predict double shock`i'

ivreg2 f`i'var`dep' shock`i' L(1/4).shock`i', robust bw(auto)
}

[Carlo Lazzaro]

Alessandro:
see https://www.statalist.org/forums/for...-bootstrapping

[Alessandro Franconi]

Thank you Carlo, I saw different posts on the issue but I can't figure it out how I can bootstrap both stages in my framework.

When I try the following:

 forvalues i = 1/16 {
capture program drop one_rep
program define one_rep

ivreg2 f`i'g `instrument1' `instrument2' L(1/4).`instrument1' L(1/4).`instrument2', robust bw(auto
capture drop shock`i'
predict double shock`i'

ivreg2 f`i'var`dep' shock`i' L(1/4).shock`i', robust bw(auto)
exit
end }

I get an "end of do-file" --Break-- r(1)