You might James Hardin's Stata Journal (2:3) article on robust Murphy-Topel
variance estimates helpful. The abstract is at
http://www.stata-journal.com/abstracts/st0018.pdf
Scott
----- Original Message -----
From: <[email protected]>
To: <[email protected]>
Cc: <[email protected]>; <[email protected]>
Sent: Tuesday, March 02, 2004 3:43 PM
Subject: st: Murphy-Topel in a Tobit model
> We are trying to compute a Murphy-Topel variance estimate for a two-stage
> model where the two stages are independent (different data sets) and the
> second stage is a two-limit Tobit model which includes, as a predictor, a
> linear index based on the coefficients obtained in the first-stage
> results.
>
> If I am not mistaken, besides the usual covariance matrices for the
> coefficients for the first and second stages, the only thing we need to
> compute is the matrix of cross-product derivatives for the second-stage
> likelihood function summed across individual observations (see Greene,
> Econometric Analysis (4th ed.), p. 135. Is there a straightforward way
> for non-programmers to code this calculation in Stata? Has anyone done
> something similar?
>
> Thanks for your help.
>
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