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st: RE: how to get standard errors from VC


From   "Yulia Marchenko" <ymarchenko@stata.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: how to get standard errors from VC
Date   Thu, 19 Aug 2004 12:15:36 -0500

On Thursday, Oleksnadr wrote:

>I use matrix commands to estimate the coefficients of a regression. I 
>have got coefficient and variance/covarience matricies: beta and VC. How 
>to get from VC to std. errors?
>I suppose first line is
>ER=vecdiag(VC)
>The second step is to take a square root of each element of ER. How can 
>I do it in one line without going into loops and cyles?

Here is one possibility:

 sysuse auto, clear
 regr price weight mpg
 mat V=vecdiag(cholesky(diag(vecdiag(e(V)))))
 mat list V



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