Kit - Oops! I am guilty of not reading the manual. I was unaware of the
- -stddp- command. Thanks, Kit for pointing it out. As you say, it should
be a relatively simple manner to get the cross-covariance terms from the
variance of the difference. But I still question of what use the variance
of a difference between two equations really is. In many applications, the
quantities estmated by separate equations are not comparable (different
units, discrete-continuous, etc). Wouldn't it be more useful to have a
direct command to obtqin the cross-covariance? Perhaps we could get a
response from someone at Stata Corp. on this.
Al Feiveson
I have no clue why this option exists, and agree that it should be
augmented by adding an option to get what you're looking for directly. I
imagine it was added because someone had some specific need for this
quantity; but as you say, it would be easy enough to generate what 'stddp'
is doing if you had the building blocks (covariances that you seek)
accessible directly. I would hope that StataCorp developers will consider
doing that (and it has to be them, since predict is a built-in command).
