Dear Stata users,
I have a problem with the jackknife command. Hopefully there are some experienced users who will be able to help me. I am estimating a negative binomial model (NEGBIN 1), regressing a count variable y on a continuous variable x and on some other control variables z1, z2, ...
Since I am only interested in the parameter of x and in the overdispersion parameter delta, I specified the command in this way:
jackknife _b[x] e(delta), cluster(t): nbreg y x z*, dispersion(constant) nocons
However, I observed that if I specify the command in this way, without collecting the two parameters I am interested in:
jackknife, cluster(tt): nbreg y x z*, dispersion(constant) nocons,
something strange happens: the estimated parameters are exactly the same, but the jackknife standard error of delta is completely different, much higher than in the previous case, whereas the jackknife standard error of b[x] is exactly the same.
I read the Stata user guide and scanned the web to find some hints, but unsuccessfully. I don't understand why the standard error of the overdispersion parameter is so different, and don't know which command I should use.
Have you already encountered such a problem with the jackknife command?
Many thanks in advance for your help!
Best,
Marc
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