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st: RE: robust variance estimator for two stage models


From   "Stephen P Jenkins" <stephenj@essex.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: robust variance estimator for two stage models
Date   Wed, 7 Apr 2004 16:36:53 +0100

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Shao, Ling
> Sent: 07 April 2004 16:19
> To: statalist@hsphsun2.harvard.edu
> Subject: st: robust variance estimator for two stage models
> 
> 
> I am trying to compute the sandwich estimate of variance for 
> a two-stage model where the second-stage model uses as one of 
> its regressors the predicted values from the first-stage 
> model. I followed the procedure in James Hardin's Stata 
> Journal (2:3, pp253-266) article on robust variance estimator 
> except that the estimating equations are derived from F.O.C.s 
> of OLS rather than from derivatives of the log-likelihoods. 
> 
>  
> 
> I am able to obtain the components of the A & B matrices in 
> Hardin's article mathematically, but cannot implement it 
> correctly in Stata. It seems that I cannot do it without 
> using "mkmat" command which limits the dimension of matrices 
> to 800. Is there any idea to get around the problem of small 
> matrix size? Has anybody calculate the sandwich estimate of 
> variance this way? Could you share with me your thoughts?

-matscore- and -mataccum- often help with this sort of issue -- do they
help in this context?


Stephen
-------------------------------------------------------------
Professor Stephen P. Jenkins <stephenj@essex.ac.uk>
Institute for Social and Economic Research
University of Essex, Colchester CO4 3SQ, U.K.
Tel: +44 1206 873374.  Fax: +44 1206 873151.
http://www.iser.essex.ac.uk   



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