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Re: st: Recovering Jacobian from gmm estimate


From   Tony Stata <tony.stata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Recovering Jacobian from gmm estimate
Date   Fri, 4 Oct 2013 11:54:52 -0500

Ah, apologies. That was not intentional. The name (Tony Ditta) should
be corrected now.

On Fri, Oct 4, 2013 at 11:41 AM, Nick Cox <njcoxstata@gmail.com> wrote:
> Please see point 2.1.3 in the FAQ about using full real names on Statalist.
> Nick
> njcoxstata@gmail.com
>
>
> On 4 October 2013 16:52, Tony Stata <tony.stata@gmail.com> wrote:
>> Hello everyone,
>>
>> To calculate the asymptotic variance of the gmm estimate, Stata
>> numerically calculates the Jacobian matrix (unless the analytic
>> derivatives are supplied manually). What is the best way to recover
>> this matrix and store it locally?
>>
>> A few comments:
>>
>> (i) For reference, I'm referring to the G_bar(Beta_hat) matrix in
>> equation 5 in the gmm section of the Stata Reference Manual (Release
>> 12)
>>
>> (ii) It would be possible to numerically calculate the Jacobian after
>> estimation, but that could be computationally costly, and Stata has
>> already done that computation, so it would be nice to avoid that
>> redundancy
>>
>> (iii) From what I can tell, all the other matrices in the asymptotic
>> variance calculation are being saved in e() by gmm: e(W) is the weight
>> matrix, e(S) is the moment var-cov matrix, and e(V) is the parameter
>> var-cov matrix, but I can't find the Jacobian
>>
>> Thanks!
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