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Re: st: accessing delta-method-derived standard errors


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: accessing delta-method-derived standard errors
Date   Wed, 11 Jun 2008 16:51:29 +0100 (BST)

What about -nlcom-?

-- Maarten

--- "Feiveson, Alan H. (JSC-SK311)" <alan.h.feiveson@nasa.gov> wrote:

> 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);
> 
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 


-----------------------------------------
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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