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Re: st: Est. of variance for non-linear comb. of parameters (Krinsky-Robb)


From   "M.Parameswaran" <mpeswaran@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Est. of variance for non-linear comb. of parameters (Krinsky-Robb)
Date   Tue, 18 Jul 2006 16:55:31 +0530

Hi Jesper,
To estimate standard error of a non-liner combination of estimates
you can use stata command "predictnl".
best wishes
Parameswaran

On 18/07/06, Arne Risa Hole <arnehole@gmail.com> wrote:
Hi Jesper

You can calculate the bootstrap variances (and CIs) of your WTP
measures by runnning the following command:

bootstrap (-_b[H1]/_b[H5]) (-_b[H2]/_b[H5]) (-_b[H3_varm]/_b[H5]) ///
(-_b[H3_kold]/_b[H5]) (-_b[H4]/_b[H5]) (-_b[_cons]/_b[H5]), ///
reps(1000): xtlogit  choice H1 H2 H3_varm H3_kold H4 H5, re

I have written a Stata module that calculates Krinsky Robb CIs for WTP
measures which should be straightforward to tweak into calculating the
variance as well. I will send this to you off-list.

Best wishes
Arne

On 18/07/06, Jesper Kjær Hansen <kjaer.hansen@oncable.dk> wrote:
> Would anyone on the list be kind enough to give me advice on how
> to implement the procedure for estimation of variance for non-
> linear combinations of parameter estimates (e.g. elasticities),
> as described by Krinsky & Robb (1986), in Stata?
>
> I use data from a Discrete Choice Expmeriment to estimate a
> choice model with xtlogit, i.e.
>
> -xtlogit choice H1 H2 H3_varm H3_kold H4 H5, re-
>
> where H* are the attributes describing the choice situation.
> Afterwards, I calculate Willingness-to-Pay measures, e.g.
>
>  (WTP_H4: - _b[H4]/_b[H5])
>  where H5 is the price attribute.
>
> I would like to estimate the variance of WTP using the
> (simulation) method proposed by Krinsky-Robb or alternatively
> another simulation method (for example, I know how to bootstrap
> the original parameter estimates, but is it possible to obtain
> bootstrap estimates of var(WTP)?).
>
> I know that I can obtain a very neat output with WTP's and
> variance estimates, using -nlcom-, which uses the delta method
> for estimating variance estimates. I have already done that. I
> would like to compare the various variance estimates obtained,
> which is why I'm trying to implement alternative methods.
>
>
> -- J. K. Hansen
>
>
> For an example, see:
>
>  view http://www.nat.sdu.dk/users/nat-sdu/jkha01/data/jorgen.txt
>
> or do:
>
>  do http://www.nat.sdu.dk/users/nat-sdu/jkha01/data/jorgen.do
>
> Reference:
> Krinsky, Itzhak & A. Leslie Robb (1986), "On Approximating the
> Statistical Properties of Elasticities", The Review of Economics
> and Statistics, MIT Press, vol. 68(4), pages 715-19, November.
>
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--
___________________________________
M. Parameswaran,
Research Associate,
Centre for Development Studies,
Prasanth Nagar Road, Ulloor.
Trivandrum - 695 011,
Kerala, India.
Phone: +91-471-2448881 (O)
           +91 - 09446506388 (mobile)
e-mail: parameswaran@cds.ac.in
          mpeswaran@gmail.com

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