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Re: st: Variance-Covariance matrix using -lincom-
Jeffrey Rosen <email@example.com> asks:
> I've estimated a three equation LES model using an MLE. Due to constraints
> on the system, only two equations are estimated and the third equation has a
> linear relationship with the other two.
> B1 and B2 would be estimated and B3 = 1 - B1 - B2.
> I've estimated B3 using the -lincom- command:
> lincom 1 - [b1]_cons - [b2]_cons
> I would like to calculate the standard error of some elasicities using the
> delta method. In order to do so, I need the variance-covariance matrix of
> all of the estimates. When I review the matrix using either -estat vce- or
> matrix list e(V), the matrix does not include the variable B3 that was
> estimated using -lincom-.
> Is it possible to get the matrix to include B3?
. nlcom (B1:[b1]_cons) (B2:[b2]_cons) (B3:1 - [b1]_cons - [b2]_cons)
. mat list r(V)
Note that -nlcom- is good for linear combinations too, and it allows
simultaneous estimation of various combinations, with VCE for all.
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