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From |
Kit Baum <baum@bc.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Re: missing dummy variable |

Date |
Thu, 11 Oct 2007 06:54:23 -0400 |

John said

Thanks Kit, but the coefficient is the easy part! It's the confidence

intervals I'm scratching my head over. Is this something that can be

dug out of the e(V) matrix or the like?

But he seems to miss my prior mention of -lincom- in a couple of postings. If you can get -lincom- to do it, it will give you point and interval estimates. Of course you can calculate it from e(V): the variance of a sum is the sum of the variances plus twice the covariances of all (i,j), i<j. Again, for two dozen coefficients, that involves 24(25)/2 = 300 distinct covariances. Luckily -lincom- will do it with a bit of setup cost:

/*

sysuse auto

rename make desc

gen make = word( desc,1)

tab make

*/

xi i.make

ds _I*

foreach v of varlist `r(varlist)' {

local lc "`lc' -`v'"

}

xi3: reg mpg e.make

lincom `lc'

// This coefficient and its standard error, added to the grand mean

// estimated as the constant term in xi3, should match the constant term in

xi: reg mpg i.make

Kit Baum, Boston College Economics and DIW Berlin

http://ideas.repec.org/e/pba1.html

An Introduction to Modern Econometrics Using Stata:

http://www.stata-press.com/books/imeus.html

On Oct 11, 2007, at 2:33 AM, statalist-digest wrote:

Thanks Kit, but the coefficient is the easy part! It's the confidence intervals I'm scratching my head over. Is this something that can be dug out of the e(V) matrix or the like?

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