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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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: How to estimate standard error of panel variant coefficient***From:*Tirthankar Chakravarty <tirthankar.lists@gmail.com>

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