Maarten,
Thanks so much for the kind response. I really appreciate it!
I guess I did not make it clear when I asked the question. I was trying to figure out the algorithms to manually derive the standard error for the coefficient estimates. In other words, what are the steps to calculate the standard errors and how to execute them in Stata?
Thanks a lot again,
Enya He, PhD
Assistant Professor
Department of FIREL
University of North Texas
P.O. Box 305339
Denton, Texas 76201
Office: (940) 565-3060
Fax: (940) 565-4234
>>> Maarten buis <maartenbuis@yahoo.co.uk> 5/15/2007 12:00 PM >>>
--- "Enya He" wrote:
> Does anyone knows how to manually calculate the standard error of
> coefficient estimates under the logit model? In other words, how to
> use matrix language to manually compute the standard error in Stata?
Is this what you are looking for?
*-------------- begin example ----------
sysuse auto
logit foreign price mpg
matrix V = e(V)
matrix se = vecdiag(cholesky(diag(vecdiag(V))))
matrix list se
*--------------- end example -------------
(For more on how to use examples I sent to the Statalist, see:
http://home.fsw.vu.nl/m.buis/stata/exampleFAQ.html )
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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