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From |
"FEIVESON, ALAN H. (AL) (JSC-SD) (NASA)" <alan.h.feiveson1@jsc.nasa.gov> |

To |
"'statalist'" <statalist@hsphsun2.harvard.edu> |

Subject |
st: std error covariances between equations |

Date |
Fri, 13 Sep 2002 14:42:23 -0500 |

Hello - In Stata multi-equation models, Let L1, L2, ..,Lp etc. be the respective linear combinations of explanatory variables that make up the "equations". In fitting these models, I have often experienced a need to generalize _predict's "stdp" capability to include cross-equation covariances such as Cov(L1-hat, L2-hat). With these covariances, I can then run a parametric bootstrap on functions of L1, L2, ..Lp under the assumption that (L1-hat, L2-hat,..,Lp-hat) is distributed multivariate normal. To do this, one needs an estimate of the covariance matrix of the L-hats. For simplicity, assume p = 2, with n1 terms making up L1 and n2 terms in L2. Using the current version of _predict (in Stata 7), I can get a new variable containing the estimated variance of L1-hat by commands such as . predict se1,eq(L1) stdp . gen var1 = se1^2 Similarly, I can get the estimated variance of L2-hat. But I can't think of a convenient way to get an estimate of Cov(L1-hat, L2-hat). Sure, I can get the (n1+n2) x (n1+n2) covariance matrix V, for all the coefficients together and compute what I want, but it's a nuisance keeping track of which elements of V correspond to L1, etc. - especially if I am varying the names and numbers of these components in multiple runs of the estimation process. This is what _predict does so nicely if you only want Var(L1-hat). So I am asking the astute programmers out there if there is any interest in writing a new version of _predict which would allow something like . predict cov12,eq(1 2) stdcovp where the option "stdcovp" signifies that a covariance between two "equations" is desired. Of course, like standard errors of individual L's, the values of these covariances would in general change as their component predictor variables change. That's why the results could not be stored in a matrix, but would have to be stored as separate variables such as cov11, cov12, cov22, cov33, etc. So rather than have the user type in something like . predict cov12,eq(1 2) stdcovp . predict cov22,eq(2 2) stdcovp . predict cov13,eq(1 3) stdcovp . predict cov23,eq(2 3) stdcovp . predict cov33,eq(3 3) stdcovp it would be better to simply have a command such as . predict cov,eq(_all) stdcovp which would automatically generate cov11, cov21, cov22, etc. Does any else have a need for this, or would anyone care to undertake the programming effort? Al Feiveson * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: easier way to rename?***From:*"Radu Ban" <rban@nber.org>

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