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From | rgutierrez@stata.com (Roberto G. Gutierrez, StataCorp) |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: -nlcom-, delta method, and the derivative |
Date | Sun, 23 Jan 2011 10:55:32 -0600 |
Kristian Karlson <kristian.karlson@gmail.com> writes: > 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'. Not directly from -nlcom-, but you can get the equivalent from -testnl-, which is called by -nlcom- anyway. . sysuse auto, clear . regress mpg foreign . nlcom (_b[foreign])^2 . testnl (_b[foreign])^2 = 0 -testnl- returns the derivative matrix in r(G): . return list . mat list r(G) the second element of which (the derivative of the expression wrt -foreign-, the second coefficient of e(b)) will coincide with . di 2*_b[foreign] --Bobby rgutierrez@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/