--- On Tue, 9/6/09, George Batchelor wrote:
> I have an estimator in Mata that produces a set of
> coefficient estimates and also a var-covar matrix.
> I then transform the coefficients using a non-linear
> process. Ordinarily I would then use the delta
> method to calculate the var-covar matrix for
> transformed coefficients. To do this in Stata I
> would use "nlcom" and in Gauss I would use "gradp"
> to find the gradient vector of the new parameters,
> but I can not find a function to do this in Mata. Any
> advice on how to do this would be much appreciated.
One strategy you could follow is to return these intermediate
estimates into Stata and use -nlcom- within Stata. This is
illustrated in the silly example below.
*------------- begin example ---------------
mata
mata drop silly()
void silly() {
b = 1 , 2
V = 1 , 0 \
0 , 1
st_matrix("b", b)
st_matrix("V", V)
}
end
capture program drop silly_estimator
program define silly_estimator, eclass
mata silly()
matrix colnames b = x _cons
matrix colnames V = x _cons
matrix rownames V = x _cons
ereturn post b V
end
silly_estimator
nlcom _b[x]/_b[_cons]
*-------------- end example -----------------
Hope this helps,
Maarten
-----------------------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany
http://home.fsw.vu.nl/m.buis/
-----------------------------------------
*
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