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Re: st: how to get variance-covariance matrix after mvprobit
From
Maarten Buis <[email protected]>
To
[email protected]
Subject
Re: st: how to get variance-covariance matrix after mvprobit
Date
Fri, 20 May 2011 16:32:16 +0200
2011/5/20 Zhi Su wrote:
> Now I construct the variance and covariance by copy and past the
> values of rho_ij from mvprobit results, and make them a matrix. The
> manually constructed matrix is only an approximation of the true
> variance-covariance matrix.
> Is there a way to get the full estimated variance-covariance matrix
> from programming?
I wrote a Stata tip on that that will appear in the next Stata Journal:
M.L. Buis (forthcomming) "Stata tip 97: Getting at rhos and sigmas",
The Stata Journal, 11(2).
You can get a pre-publication draft at:
http://www.maartenbuis.nl/publications/sigma_rho.html
Hope this helps,
Maarten
--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany
http://www.maartenbuis.nl
--------------------------
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