Xiling Zhou <xtz20@cam.ac.uk> wrote:
You can bootstrap, like so:
clear all
prog vcov, eclass
if replay() {
syntax [anything] [, EForm(string) Level(real 95)]
eret di, eform(`eform') level(`level')
}
else {
syntax varlist [, EForm(string) Level(real 95)]
marksample touse
tempname V v
matrix accum `V'=`varlist', nocons dev
mat `v'=vec(`V')
mat `v'=(`v')'
eret post `v', esample(`touse')
eret local depvar "none"
eret local cmd "vcov"
eret local properties "b"
eret di, eform(`eform') level(`level')
}
end
sysuse auto
vcov price mpg headroom trunk weight
bs:vcov price mpg headroom trunk weight
On Sat, Jul 10, 2010 at 3:35 AM, Xiling Zhou <xtz20@cam.ac.uk> wrote:
> Yes, I do mean that. I'm trying to find standard error for elements of the
> variance-covariance matrix.
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