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


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, Hyojoung Kim <hyojoung@u.washington.edu>
Subject   Re: st: how to obtain Murphy and Topel asymptotic variance and covariance matrix in stata
Date   Mon, 13 Sep 2004 22:14:57 +0100 (BST)

Hyojoung,

Have you looked at James Hardin's article in the Stata Journal (2002)?  
The abstract can be found at

http://www.stata-journal.com/abstracts/st0018.pdf

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.

Cheers,
Mark

Quoting Hyojoung Kim <hyojoung@u.washington.edu>:

> 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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> 



Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
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