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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 22:57:51 +0100 (BST)

Hyojoung,

Are you sure the Hardin article won't help?  Section 4 goes through an 
explicit example for a logistic/Poisson, and shows how to calculate both 
the M-T and sandwich variance estimators:

"Stata makes it relatively easy to obtain the Murphy–Topel variance 
estimates for atwo-stage model. The powerful commands that we have at our 
disposal are the matrixaccum and matrix vecaccum commands.A do-file for 
generating the results of the two stage estimation proceeds as follows.In 
this construction, we will include the details for building the naive, 
Murphy–Topel,and robust variance estimates." (p. 259)

I had a quick look at the code for his example, and at first glance it 
looks like a good starting point for your own application.

--Mark

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

> Mark and other statalisters,
> 
> it looks like your suggested James Hardin article deals with the
> standwich
> estimates of variance, which is asymptotically equivalent to
> Murphy-Topel.
> Isn't there any way I could obtain exactly the Murphy-Topel
> correction?
> 
> 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
> ----- Original Message ----- 
> From: "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
> To: <statalist@hsphsun2.harvard.edu>; "Hyojoung Kim"
> <hyojoung@u.washington.edu>
> Sent: Monday, September 13, 2004 2:14 PM
> Subject: Re: st: how to obtain Murphy and Topel asymptotic variance
> and
> covariance matrix in stata
> 
> 
> > 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
> > >
> > > *
> > > *   For searches and help try:
> > > *   http://www.stata.com/support/faqs/res/findit.html
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> > > *   http://www.ats.ucla.edu/stat/stata/
> > >
> >
> >
> >
> > 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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> >
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> > Watt University does not accept liability or responsibility
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> >
> 
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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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This e-mail and any files transmitted with it are confidential
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you are prohibited from using any of the information contained
in this e-mail.  In such a case, please destroy all copies in
your possession and notify the sender by reply e-mail.  Heriot
Watt University does not accept liability or responsibility
for changes made to this e-mail after it was sent, or for
viruses transmitted through this e-mail.  Opinions, comments,
conclusions and other information in this e-mail that do not
relate to the official business of Heriot Watt University are
not endorsed by it.
________________________________________________________________
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