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Re: st: standard error of variance covarance


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: standard error of variance covarance
Date   Sat, 10 Jul 2010 16:46:00 -0400

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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