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st: how to get variance-covariance matrix after mvprobit
From
Zhi Su <[email protected]>
To
statalist <[email protected]>
Subject
st: how to get variance-covariance matrix after mvprobit
Date
Fri, 20 May 2011 09:58:36 -0400
In the reference of mvprobit, it says
*εim , m = 1, ..., M, are error terms distributed as multivariate
normal, each with a mean of zero, and variance-covariance matrix V,
where V has values of 1on the leading diagonal and correlations ρjk =
ρkj as off-diagonal elements
Now I construct the variance and covariance by copy and past the
values of rho_ij from mvprobit results, and make them a matrix. The
manually constructed matrix is only an approximation of the true
variance-covariance matrix.
Is there a way to get the full estimated variance-covariance matrix
from programming?
Thank you!
--
Zhi Su
348 Holmes Hall
Northeastern University
360 Huntington Avenue
Boston, MA 02115
Office:1-617-373-2316
email:[email protected]
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