For a garden-variety, cross-sectional regression, an estimator of
var(b)
is
var(b)=invsym(X'*W*X)
where X is the design matrix and W is a diagonalized weight matrix.
Is there a way in Stata to get the FGLS estimated var-cov in a single
command? By which I mean:
-regress depvar indvars [pweight=w]-
gives the GLS estimates for b
b=invsym(X'*W*X)*(X'*W*y)
but the standard errors are computed as though
-regress depvar indvars [pweight=w], vce(robust)-
and are close to the FGLS estimates, but are not the same....
It's really no big deal if there is not, but I am a bit surprised if there
is no way to do the weighted least square mechanics for both coefficients
AND their SEs by simply specifying a weight matrix for the standard
textbook matrix calculations....
Thanks!
--Herb
Herbert L. Smith
Professor of Sociology and
Director, Population Studies Center
230 McNeil Building
3718 Locust Walk CR
University of Pennsylvania
Philadelphia, PA 19104-6298
[email protected]
215.898.7768 (office)
215.898.2124 (fax)
On Tue, 16 Jan 2007, Herb Smith wrote:
> Maarten--
>
> This is wonderful and I appreciate the alacrity with which you have
> responded to me...
>
> But I do wonder a bit about the on-line help for mata, since this would
> seem to be a "natural" for the "Also see" section in, e.g.,
>
> -help mf_st_matrix-
>
> and while I now see that it follows immediately in the hard-copy MATA
> manual -- apologies, I am in my office, and I should have looked there
> first -- often we do not have the hardbound handy...
>
> Best,
>
> --Herb
>
> Professor of Sociology and
> Director, Population Studies Center
> 230 McNeil Building
> 3718 Locust Walk CR
> University of Pennsylvania
> Philadelphia, PA 19104-6298
>
> [email protected]
>
> 215.898.7768 (office)
> 215.898.2124 (fax)
>
> On Tue, 16 Jan 2007, Maarten buis wrote:
>
> > --- Herb Smith <[email protected]> wrote:
> >
> > > Thanks. But now I am flummoxed on how to return a scalar, in
> > > particular e(rmse)
> >
> > *------------ begin example -----------
> > sysuse auto, clear
> > reg price mpg foreign
> > mata
> > rmse = st_numscalar("e(rmse)")
> > rmse
> > end
> > *----------- end example --------------
> >
> > Hope this helps,
> > Maarten
> >
> > -----------------------------------------
> > Maarten L. Buis
> > Department of Social Research Methodology
> > Vrije Universiteit Amsterdam
> > Boelelaan 1081
> > 1081 HV Amsterdam
> > The Netherlands
> >
> > visiting address:
> > Buitenveldertselaan 3 (Metropolitan), room Z434
> >
> > +31 20 5986715
> >
> > http://home.fsw.vu.nl/m.buis/
> > -----------------------------------------
> >
> >
> >
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> >
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