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st: Delta method using Mata


From   George Batchelor <george.batchelor@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Delta method using Mata
Date   Tue, 9 Jun 2009 10:09:31 +0100

Dear Statalist,

I have an estimator in Mata that produces a set of coefficient
estimates and also a var-covar matrix.  I then transform the
coefficients using a non-linear process.  Ordinarily I would then use
the delta method to calculate the var-covar matrix for transformed
coefficients.  To do this in Stata I would use "nlcom" and in Gauss I
would use "gradp" to find the gradient vector of the new parameters,
but I can not find a function to do this in Mata.  Any advice on how
to do this would be much appreciated.

Kind regards,
George
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