st: re: lincom

[Kit Baum <baum@bc.edu>]

<>
Martin said

It is useful indeed, but there is no extended discussion of -lincom-  
of the sort requested by Nikolaos in there.

I don't know what such an extended discussion would contain. After any  
estimation command you have a coefficient vector b=e(b) and a  
precision matrix e(V) [VCE]. If you want to examine any linear  
combination of coefficients, alpha' * b, calculating that combination  
is simple algebra which you could do yourself. Calculating its  
standard error, using e(V) and the standard rules for the variance of  
a random variable, is also something you could do yourself if you had  
e(V) at hand (-estat vce-). There is nothing fancy going on here. If I  
want to form the lincom of 2 * beta_3 - 4 * beta_5, I can calculate  
that expression with display, and I can calculate its s.e. using three  
elements of the VCE (the 3,3, 5,5, and 5,3 element). What more is  
there to say about lincom? It's just a convenience command.


Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming   
|   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html



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