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st: Variance Decomposition with robust Jacknife SE


From   "Giorgio Gotti" <giorgio.gotti@gmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Variance Decomposition with robust Jacknife SE
Date   Sat, 13 Sep 2008 11:44:05 -0400

Dear Statalisters,
I am trying to implement a Variance Decomposition analysis and to follow
previous literature in accounting research 
I am asked by reviewers to present for each variance component two numbers: 
- the weighted least square point estimate of the parameter (where
observations are weighted such that each cross-section receives an equal
weight) and 
- a robust Jacknife standard error. 
I use Vecar to estimate the VAR model and then proceed to compute the
variance decomposition with a matrix calculation using the coefficients and
the variance-covariance matrices from the Vecar command. 
In this way, however, I am not able to compute the robust Jacknife standard
error. 
Any advice would be greatly appreciated.
Thanks in advance,
Giorgio

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