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From |
Tony Ditta <tony.stata@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Recovering Jacobian from gmm estimate |

Date |
Fri, 4 Oct 2013 13:50:10 -0500 |

Thanks! Is this a Stata 13 thing? I should mention that I'm on Stata 12. When I run your code on Stata 12, the e(G) matrix is empty (though the e(W) matrix works as expected): . sysuse auto . gmm (mpg - {b0} - {b1}*gear), inst(gear turn head) onestep vce(unadj) . mat G = e(G) . mat W = e(W) . matrix list G symmetric G[1,1] c1 r1 . . matrix list W symmetric W[4,4] 1: 1: 1: 1: gear_ratio turn headroom _cons 1:gear_ratio .44634078 1:turn .02913199 .00502039 1:headroom .0266585 -.00514461 .08593673 1:_cons -2.5804966 -.27148176 -.13362431 18.992525 On Fri, Oct 4, 2013 at 1:30 PM, Brian P. Poi <bpoi@stata.com> wrote: > On 10/04/2013 10:52 AM, Tony Stata 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! > > > Tony, > > Although not documented, you can get the final G matrix in the saved > results. It is stored as e(G). Note that this matrix does not have the row > and column names set. We'll get this added to the documentation in a future > update. > > Here's a silly example: > > . sysuse auto > . gmm (mpg - {b0} - {b1}*gear), inst(gear turn head) onestep vce(unadj) > . mat G = e(G) > . mat W = e(W) > . mat V = invsym(G'*W*G) / 74 /* N = 74 observations */ > . di sqrt(V[1,1]) > 3.5392953 > . di sqrt(V[2,2]) > 1.1609056 > > > -- Brian Poi > -- bpoi@stata.com > > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Recovering Jacobian from gmm estimate***From:*"Brian P. Poi" <bpoi@stata.com>

**References**:**st: Recovering Jacobian from gmm estimate***From:*Tony Stata <tony.stata@gmail.com>

**Re: st: Recovering Jacobian from gmm estimate***From:*"Brian P. Poi" <bpoi@stata.com>

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