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Re: st: how to obtain Murphy and Topel asymptotic variance and covariance matrix in stata
Have you looked at James Hardin's article in the Stata Journal (2002)?
The abstract can be found at
At it's a Stata Journal paper, it's likely to be pretty specific about how
to go about implementing these variance estimators in Stata.
Hope this helps.
Quoting Hyojoung Kim <firstname.lastname@example.org>:
> Dear statalisters,
> i am a new member of the list and in need of your help in obtaining
> 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
> 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
> lambda for uihat in the second equation while using Murphy and
> (1985) asymptotic variance-covariance matrix.
> Alternatively, I also define Y2i in the second equation as a count
> accidents instead of a dummy. In this case, should I have to
> 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 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) email@example.com
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
Prof. Mark Schaffer
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
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