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st: Re: std error covariances between equations

From   baum <>
Subject   st: Re: std error covariances between equations
Date   Wed, 18 Sep 2002 08:26:28 -0400

--On Wednesday, September 18, 2002 2:33 -0400 Al wrote:

Kit - Oops!  I am guilty of not reading the manual. I was unaware of the
- -stddp- command. Thanks, Kit for pointing it out. As you say, it should
be a relatively simple manner to get the cross-covariance terms from the
variance of the difference. But I still question of what use the variance
of a difference between two equations really is. In many applications, the
quantities estmated by separate equations are not comparable (different
units, discrete-continuous, etc). Wouldn't it be more useful to have a
direct command to obtqin the cross-covariance? Perhaps we could get a
response from someone at Stata Corp. on this.

Al Feiveson
I have no clue why this option exists, and agree that it should be augmented by adding an option to get what you're looking for directly. I imagine it was added because someone had some specific need for this quantity; but as you say, it would be easy enough to generate what 'stddp' is doing if you had the building blocks (covariances that you seek) accessible directly. I would hope that StataCorp developers will consider doing that (and it has to be them, since predict is a built-in command).

Christopher F Baum, Boston College Economics, Chestnut Hill MA 02467 USA
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