> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Shao, Ling
> Sent: 07 April 2004 16:19
> To: [email protected]
> Subject: st: robust variance estimator for two stage models
>
>
> I am trying to compute the sandwich estimate of variance for
> a two-stage model where the second-stage model uses as one of
> its regressors the predicted values from the first-stage
> model. I followed the procedure in James Hardin's Stata
> Journal (2:3, pp253-266) article on robust variance estimator
> except that the estimating equations are derived from F.O.C.s
> of OLS rather than from derivatives of the log-likelihoods.
>
>
>
> I am able to obtain the components of the A & B matrices in
> Hardin's article mathematically, but cannot implement it
> correctly in Stata. It seems that I cannot do it without
> using "mkmat" command which limits the dimension of matrices
> to 800. Is there any idea to get around the problem of small
> matrix size? Has anybody calculate the sandwich estimate of
> variance this way? Could you share with me your thoughts?
-matscore- and -mataccum- often help with this sort of issue -- do they
help in this context?
Stephen
-------------------------------------------------------------
Professor Stephen P. Jenkins <[email protected]>
Institute for Social and Economic Research
University of Essex, Colchester CO4 3SQ, U.K.
Tel: +44 1206 873374. Fax: +44 1206 873151.
http://www.iser.essex.ac.uk
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