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Re: st: suest after probit or oprobit?


From   vwiggins@stata.com (Vince Wiggins, StataCorp)
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: suest after probit or oprobit?
Date   Thu, 05 Feb 2009 23:50:14 -0600

Joachim Henkel <henkel@wi.tum.de> why -suest- produces the same standard
errors as maximum likelihood estimators with the -vce(robust)- option,

> I am trying to estimate three equations with oprobit followed by
> suest. The problem is, the standard errors from suest are absolutely
> identical to those of the individual robust regressions without
> suest. The same happens when I use suest after probit (which
> definitely should work with suest).  [...]

That is exactly what we expect.  

Both -suest- and -vce(robust)- use the linearization/huber/white/sandwich
estimator of the VCE.

What -suest- adds are the covariance estimates BETWEEN separately fitted
models.  Among other things, those covariances let us test parameter estimates
across the fitted models.  -suest- performs this magic by utilizing the scores
from the separately fitted models and the fact that those scores are computed
on the same observations.  If we examine the Methods and Formulas for -suest-,
it is clear that the VCE of any one of the fitted models is affected only by
its own scores and that it is not affected by the scores of the other models.
So, -suest-'s SEs for any model's coefficients are just the SEs of the
sandwich estimator; that is to say, vce(robust).  This is strictly true only
for maximum likelihood estimators, vce(robust) makes a degree of freedom
adjustment for -regress- which -suest- does not apply.

 
-- Vince 
   vwiggins@stata.com

 
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