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st: -xsmle- updated on SSC


From   Federico Belotti <[email protected]>
To   Stata List <[email protected]>
Subject   st: -xsmle- updated on SSC
Date   Fri, 5 Jul 2013 11:48:28 +0200

With many thanks as ever to Kit Baum, -xsmle- has been updated on SSC.

This new version fixes small bugs and implements two new features:

1) When the variance-covariance matrix is not positive definite, direct, indirect and total effects standard errors are computed using a modified positive definite matrix as in Rebonato and Jackel (2000);

2) the new option -hausman- performs the robust Hausman test, automatically detecting the alternative estimator (-fe- or -re-). The test is computed estimating the variance covariance matrix of the difference between -fe- and -re- estimators as in White (1982), thus avoiding (in general) inconsistency non-positive definiteness of the variance covariance matrix (of the difference). Hence, this option allows to perform the test when the official -hausman- command fails.

-ssc install xsmle, replace- to get the updated version.

Best,
Federico


References


Rebonato, R., Jackel, P., 2000. The most general methodology to create a valid correlation matrix for risk management and option pricing purposes. J. Risk 2 (2), 17–26.

White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, vol. 50(1), pages 1-25, January.

-- 
Federico Belotti, PhD
Research Fellow
Centre for Economics and International Studies
University of Rome Tor Vergata
tel/fax: +39 06 7259 5627
e-mail: [email protected]
web: http://www.econometrics.it


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