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st: -nlcom-, delta method, and the derivative

From   Kristian Karlson <[email protected]>
To   [email protected]
Subject   st: -nlcom-, delta method, and the derivative
Date   Sun, 23 Jan 2011 13:51:15 +0100


I am using -nlcom- to get the standard error of a complex transformation of a regression coefficient of interest. -nlcom- applies the delta method to get the standard error. I have also done manual calculations of the standard error. However, I obtain different results than those produced by -nlcom-. A Monte Carlo study moreover suggests that the SE produced by -nlcom- is much better than my manual calculation. I would like to inspect the differences, because I suspect the differences to exist in the derivatives.

Is it possible for me to obtain the derivative calculated by -nlcom-? I haven't been able to find any information on this. In the documentation, I would like to see the G in GVG'.


All the best,

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