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st: Calculating Coefficient Tolerance


From   "Tim R. Sass" <tsass@coss.fsu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Calculating Coefficient Tolerance
Date   Thu, 17 Nov 2005 16:45:10 -0500

I am writing a .do file that iteratively estimates a fixed effects regression using xtreg. I want to set a convergence criterion based on the change in the estimated coefficient vector. An option for setting the coefficient tolerance is contained in the maximize command, but I don't know what the underlying code to compute the tolerance looks like. I assume that it would just involve a few matrix commands that create some function of the current coefficient vector and the coefficient vector from the previous iteration. Any help would be much appreciated.

Tim

Tim R. Sass
Professor Voice: (850)644-7087
Department of Economics Fax: (850)644-4535
Florida State University E-mail: tsass@coss.fsu.edu
Tallahassee, FL 32306-2180 Internet: http://garnet.acns.fsu.edu/~tsass

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