[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
"Michael I. Lichter" <MLichter@Buffalo.EDU> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: two questions about e(V) and e(V_modelbased) after estimation commands |

Date |
Thu, 04 Feb 2010 14:36:03 -0500 |

Jeff, Thank you for clarifying these points. Michael Jeff Pitblado, StataCorp LP wrote:

Michael I. Lichter <mlichter@buffalo.edu>First, is e(V) really a variance-covariance matrix? According to Statadocumentation (I'm using Stata 10, but the online docs for Stata 11 looksimilar), e(V) contains a variance-covariance matrix. However, thevariance components of e(V) appear to be squared standard errors ratherthan variances. E.g.,. sysuse auto (1978 Automobile Data) . mean price Mean estimation Number of obs = 74 -------------------------------------------------------------- | Mean Std. Err. [95% Conf. Interval] -------------+------------------------------------------------ price | 6165.257 342.8719 5481.914 6848.6 -------------------------------------------------------------- . mat list e(V) symmetric e(V)[1,1] price price 117561.16 . di sqrt( 117561.16) 342.87193Either the "Std. Err." in the -mean- output is really an SD, or thevariance estimate in e(V) isn't a variance. Right?It would be clearer if we had documented -e(V)- as the '(co)variance estimates of the mean estimates' in -[R] mean-. In fact, many of Stata's postestimation commands, like -test-, require that -e(V)- contains a matrix of variance and covariance estimates for the point estimates in -e(b)-. So, for -mean-, -e(V)- is the matrix of variance and covariance estimates of the mean estimates in -e(b)-. Every official Stata estimation command that posts -e(V)- follows this rule, see -[P] ereturn-.Second, what is the difference between e(V) and e(V_modelbased) after-svy- commands? It looks like e(V) is the source (or destination) of thereported standard errors, and those are purportedly model-based, so bothmatrices are model-based ... but very different. I'm confused, and Idon't see anything in the survey manual to clear this up.In -svy- estimation results, -e(V)- contains the design-based variance estimates; produced using linearization, the jackknife, or BRR. -e(V_modelbased)- contains the matrix used by linearization. It is the bread of the sandwich estimator, see the section titled 'Linearized/robust variance estimation' in -[SVY] variance estimation- where you'll see that -e(V_modelbased)- is the 'D' matrix at the bottom of page 161 (Stata 11 manual reference). -svy- leaves -e(V_modelbased)- around to help postestimation commands that use linearization to combine estimation results, such as -suest-. --Jeff jpitblado@stata.com * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

-- Michael I. Lichter, Ph.D. <mlichter@buffalo.edu> Research Assistant Professor & NRSA Fellow UB Department of Family Medicine / Primary Care Research Institute UB Clinical Center, 462 Grider Street, Buffalo, NY 14215 Office: CC 126 / Phone: 716-898-4751 / FAX: 716-898-3536 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**Re: st: two questions about e(V) and e(V_modelbased) after estimation commands***From:*jpitblado@stata.com (Jeff Pitblado, StataCorp LP)

- Prev by Date:
**AW: st: RE: New rules** - Next by Date:
**st: RE: Why do logit model coefficients produce signs opposite to those obtained from OLS?** - Previous by thread:
**Re: st: two questions about e(V) and e(V_modelbased) after estimation commands** - Next by thread:
**st: IV modeling in a multi-level scenario** - Index(es):

© Copyright 1996–2020 StataCorp LLC | Terms of use | Privacy | Contact us | What's new | Site index |