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st: accessing delta-method-derived standard errors


From   "Feiveson, Alan H. (JSC-SK311)" <alan.h.feiveson@nasa.gov>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: accessing delta-method-derived standard errors
Date   Wed, 11 Jun 2008 10:27:20 -0500

Hi - 

Some estimation commands (such as xtlogit below) give direct estimates
and standard errors for transformed parameters and then use the delta
method to show approximate standard errors for the corresponding orginal
parameters. My question is can one access these delta-method-derived
standard errors without doing the delta method by hand on actual
estimation standard errors?

For example, in the output below, I would like to retrieve the shown
standard error of sigma_u (1.092482) directly, rather than have to apply
the delta method to the standard error of log(sigma_u) (0.9960302). 

Thanks

Al Feiveson


. xtlogit

Random-effects logistic regression              Number of obs      =
72
Group variable: id                              Number of groups   =
12

Random effects u_i ~ Gaussian                   Obs per group: min =
6
                                                               avg =
6.0
                                                               max =
6

                                                Wald chi2(1)       =
8.44
Log likelihood  = -29.679116                    Prob > chi2        =
0.0037

------------------------------------------------------------------------
------
          k8 |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+----------------------------------------------------------
------
        freq |   7.368662   2.536989     2.90   0.004     2.396254
12.34107
       _cons |  -3.744249   1.320748    -2.83   0.005    -6.332867
-1.155631
-------------+----------------------------------------------------------
------
    /lnsig2u |   1.571154   .9960302                     -.3810293
3.523338
-------------+----------------------------------------------------------
------
     sigma_u |   2.193672   1.092482                      .8265337
5.822145
         rho |   .5939471   .2402165                       .171949
.9115323
------------------------------------------------------------------------
------
Likelihood-ratio test of rho=0: chibar2(01) =     7.55 Prob >= chibar2 =
0.003

. di _se[/lnsig2u]
.99603024

. di _se[/sigma_u]
equation sigma_u not found
r(111);

. di _se[/lnsig2u]sigma_u
invalid syntax
r(198);

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