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st: How to estimate standard error of panel variant coefficient


From   Ram Acharya <acharya.ramc@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: How to estimate standard error of panel variant coefficient
Date   Sun, 7 Oct 2012 22:14:01 -0400

I am working in country and year panel data. The right-hand side
variables include lagged dependent and contemporaneous and lagged X
exogenous variable. I also have an interaction of contemporaneous X
and country component (Zi) which varies by country but not by year.
The model is somewhat like below

Yit = a + lambda* Yi(t-1) + b1 Xit + b2 Xi(t-1) + b3 Xit* (Zi)

My interest is in the long run coefficient (theta), which can be computed as

Theta(i) = [b1 + b2 + b3*(Zi) ] / [1 – lambda]

Note that theta varies by country. My question is: how to compute
standard error for Theta. If I did not have Zi, and had only two
variables, then I could use Delta method such as below to estimate
both coefficient and se.
nlcom (_b[Xit]+_b[L.xit])/(1-_b[L.Y])

It appears to me that I cannot use the same method, as b3 varies by
country depending on the value of Zi. What would be the command in
Stata to estimate standard errors for Theta?

Thanks in advance for the help.
Ram Acharya

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