Dear all
Has anybody written a program to estimate simultaneous
eqn. problem with selection like in Lee, Madalla, and
Trost (Econometrica 1980) ?
I'm trying to compute the following matrix to modify
2SLS standard error:
inv(X' X)* X' (Da - DaW*Omega*W' Da)X
But the problem is I have 4,000 cross-sectional
observations and have an Intercooled Stata. So I don't
how to perform matrix calculation with this size of
data.
Suppose that:
X is a n*k matrix, where k is the number of variables
used in the right-hand side of the regression equation
(number of regressors).
Da is a n*n diagonal matrix with diagonal element ai
where n= 4,000
W is a n*l matrix
Omega is an l*l symmetric matrix
So far I can only get the Omega and compute inv(X'X)
using matrix accum and then using the inv command.
Many thanks in advance for your help.
Sjamsu
__________________________________
Do you Yahoo!?
Yahoo! Tax Center - File online by April 15th
http://taxes.yahoo.com/filing.html
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
