Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Consistent Variance - Covariance matrix of probit estimates

From   Fabio Zona <>
Subject   st: Consistent Variance - Covariance matrix of probit estimates
Date   Mon, 22 Feb 2010 10:27:09 +0100 (CET)

Dear all,

I am dealing with a cross-section, probit/logit regression. The unit of analysis is the dyad (pair of firms); in these cases, regressions suffer from strong autocorrelation.

In this context, a particular procedure, named the QAP (Quadratic Assignment Procedure) allows to correct for autocorrelation and to get correct standard errors.
However, QAP does NOT calculate any variance-covariance matrix of estimates: I do need this matrix...

My question for you:
- if I run a probit/logit (without the _qap correction for standard errors) and, hence, the regression suffers from strong autocorrelation, is the variance-covariance matrix biased? (I think so, please, confirm this!)

- is there a tool in STATA to get a correct var-cov matrix of estimates when a probit/logit model is affected by strong autocorrelation due to dyadic data?

Thank you very much
*   For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index