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st: how to obtain Murphy and Topel asymptotic variance and covariance matrix in stata


From   "Hyojoung Kim" <hyojoung@u.washington.edu>
To   "statalist" <statalist@hsphsun2.harvard.edu>
Subject   st: how to obtain Murphy and Topel asymptotic variance and covariance matrix in stata
Date   Mon, 13 Sep 2004 15:04:26 -0700

Dear statalisters,

i am a new member of the list and in need of your help in obtaining K.M.
Murphy and R.H. Topel's (1985) asymptotic variance-covariance matrix so as
to conduct a statistical significance test in a dichotomous probit model and
in a negative binomial model.

The models I work with are bivarite probits defined in the following:

Y1i = Xi*beta + ui
Y2i = Xi*gamma + uihat*lambda + ei

where Y1i is insurance coverage choice and Y2i is the presence/absence of
car accidents. The key is to determine the statistical significance of
lambda for uihat in the second equation while using Murphy and Topel's
(1985) asymptotic variance-covariance matrix.

Alternatively, I also define Y2i in the second equation as a count of
accidents instead of a dummy. In this case, should I have to follow
different procedures to test the statistical significance with Murphy and
Topel's (1985)? If so, how?

I thank you for the help in advance.

hyojoung

Hyojoung Kim
Assistant Professor of Sociology
University of Washington
202 Savery Hall, Box 353340
Seattle, WA 98195-3340
(Phone) 206-543-9644
(Fax) 206-543-2516
(E-mail) hyojoung@u.washington.edu

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