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Re: st: Gradients of regression function after xtprobit (corrected)


From   David Jacobs <jacobs.184@sociology.osu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Gradients of regression function after xtprobit (corrected)
Date   Mon, 06 Mar 2006 17:07:58 -0500

The most recent version of the econometrics package called EViews calculates these gradients and it is extremely easy to use. Try this, if Stata won't work for you.

Dave Jacobs

At 04:52 PM 3/6/2006, you wrote:

Dear Statalisters,
I am trying to implement a Lagrange multiplier test (Wooldridge 1996,
Journal of Applied Econometrics. To do this, I need to calculate the
gradients of the regression function with respect to two distinct groups of
parapeters of the estimated model say [dlnL/da, dlnL/db]. I think that I
have to use something like mlvecsum 'lnf' 'g' = 'g1' but then this will only
give the partial derivative dlnL/dc where c=a+b (i.e the entire set of
parameters in the model). How can someone get  [dlnL/da] and [dlnL/db] for
instance? Would be most grateful if anyone could help.
Georgios


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