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Correcting Standard Errors with Generated Regressors

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Correcting Standard Errors with Generated Regressors

Does anyone know of a code to correct for standard errors when you have generated regressors (i.e., an explanatory variable that was produced by another regression)? The PROC SYSLIN hopefully produces the right standard errors in TSLS, but I'm not familiar with a more general method of correcting standard errors with generated regressors.
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