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


From   "Feiveson, Alan H. (JSC-SK311)" <alan.h.feiveson@nasa.gov>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: accessing delta-method-derived standard errors
Date   Wed, 11 Jun 2008 11:00:02 -0500

Hi Maarten - 

Yes, I agree that I could use -nlcom-, but I was thinking of something
more direct along the lines of 

_se[something] 


I'm beginning to suspect that this syntax doesn't exist. 

Al

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Maarten buis
Sent: Wednesday, June 11, 2008 10:51 AM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: accessing delta-method-derived standard errors

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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