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st: Nonlinear least squares and robust standard errors


From   "Chavis, Larry Wilson" <chavis_larry@gsb.stanford.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Nonlinear least squares and robust standard errors
Date   Mon, 17 May 2004 13:24:32 -0700

Hi Stata Listers,

I am using Stata Version 7  and the -nl- command to do nonlinear least squares.  The equation I am estimating looks something like this  " Y = T * X1 + (T * D) * X2 + (T * D^2) * X3 +  (T * D^3) * X4 + a ton of fixed effects ".  I am having some heteroskedasticity problems and I would like to get some robust standard errors for these coefficients.  

After running the -nl- program I tried to use -_robust-.  I had the following interaction with Stata:

. matrix D=e(V)

. predict double e,residual

. _robust e, v(D) minus(271)
variable T not found
r(111);


If I understand this correctly (and certainly this is a daring assumption), Stata doesn't like this because my coefficient names are not the same as their corresponding variables. In my specification there is no one-to-one correspondence between independent variables and coefficients as there might me in regular OLS.  Is using Sandwich standard errors appropriate in such a specification?  If so is there some way to prod Stata to calculate robust standard errors here.

I am also considering using bootstrapped standard errors here, but it took 4 days just to run 50 reps.  Do anyone know if using Stata 8 might speed up this process significantly (I have about 4,000 observations)?

Thanks for your help.

Regards,
Larry Chavis
PhD Candidate
Stanford Graduate School of Business
Stanford CA 94305
650-724-4909

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