Hyojoung,
Are you sure the Hardin article won't help? Section 4 goes through an
explicit example for a logistic/Poisson, and shows how to calculate both
the M-T and sandwich variance estimators:
"Stata makes it relatively easy to obtain the Murphy�Topel variance
estimates for atwo-stage model. The powerful commands that we have at our
disposal are the matrixaccum and matrix vecaccum commands.A do-file for
generating the results of the two stage estimation proceeds as follows.In
this construction, we will include the details for building the naive,
Murphy�Topel,and robust variance estimates." (p. 259)
I had a quick look at the code for his example, and at first glance it
looks like a good starting point for your own application.
--Mark
Quoting Hyojoung Kim <[email protected]>:
> Mark and other statalisters,
>
> it looks like your suggested James Hardin article deals with the
> standwich
> estimates of variance, which is asymptotically equivalent to
> Murphy-Topel.
> Isn't there any way I could obtain exactly the Murphy-Topel
> correction?
>
> hyojoung
>
> Hyojoung Kim
> Assistant Professor of Sociology
> University of Washington
> 202 Savery Hall, Box 353340
> Seattle, WA 98195-3340
> (Phone) 206-543-9644
> (Fax) 206-543-2516
> (E-mail) [email protected]
> ----- Original Message -----
> From: "Mark Schaffer" <[email protected]>
> To: <[email protected]>; "Hyojoung Kim"
> <[email protected]>
> Sent: Monday, September 13, 2004 2:14 PM
> Subject: Re: st: how to obtain Murphy and Topel asymptotic variance
> and
> covariance matrix in stata
>
>
> > Hyojoung,
> >
> > Have you looked at James Hardin's article in the Stata Journal
> (2002)?
> > The abstract can be found at
> >
> > http://www.stata-journal.com/abstracts/st0018.pdf
> >
> > At it's a Stata Journal paper, it's likely to be pretty specific
> about how
> > to go about implementing these variance estimators in Stata.
> >
> > Hope this helps.
> >
> > Cheers,
> > Mark
> >
> > Quoting Hyojoung Kim <[email protected]>:
> >
> > > Dear statalisters,
> > >
> > > i am a new member of the list and in need of your help in
> obtaining
> > > K.M.
> > > Murphy and R.H. Topel's (1985) asymptotic variance-covariance
> matrix
> > > so as
> > > to conduct a statistical significance test in a dichotomous
> probit
> > > model and
> > > in a negative binomial model.
> > >
> > > The models I work with are bivarite probits defined in the
> > > following:
> > >
> > > Y1i = Xi*beta + ui
> > > Y2i = Xi*gamma + uihat*lambda + ei
> > >
> > > where Y1i is insurance coverage choice and Y2i is the
> > > presence/absence of
> > > car accidents. The key is to determine the statistical
> significance
> > > of
> > > lambda for uihat in the second equation while using Murphy and
> > > Topel's
> > > (1985) asymptotic variance-covariance matrix.
> > >
> > > Alternatively, I also define Y2i in the second equation as a
> count
> > > of
> > > accidents instead of a dummy. In this case, should I have to
> > > follow
> > > different procedures to test the statistical significance with
> > > Murphy and
> > > Topel's (1985)? If so, how?
> > >
> > > I thank you for the help in advance.
> > >
> > > hyojoung
> > >
> > > Hyojoung Kim
> > > Assistant Professor of Sociology
> > > University of Washington
> > > 202 Savery Hall, Box 353340
> > > Seattle, WA 98195-3340
> > > (Phone) 206-543-9644
> > > (Fax) 206-543-2516
> > > (E-mail) [email protected]
> > >
> > > *
> > > * 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/
> > >
> >
> >
> >
> > Prof. Mark Schaffer
> > Director, CERT
> > Department of Economics
> > School of Management & Languages
> > Heriot-Watt University, Edinburgh EH14 4AS
> > tel +44-131-451-3494 / fax +44-131-451-3008
> > email: [email protected]
> > web: http://www.sml.hw.ac.uk/ecomes
> > ________________________________________________________________
> >
> > DISCLAIMER:
> >
> > This e-mail and any files transmitted with it are confidential
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> > whom it is addressed. If you are not the intended recipient
> > you are prohibited from using any of the information contained
> > in this e-mail. In such a case, please destroy all copies in
> > your possession and notify the sender by reply e-mail. Heriot
> > Watt University does not accept liability or responsibility
> > for changes made to this e-mail after it was sent, or for
> > viruses transmitted through this e-mail. Opinions, comments,
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> > not endorsed by it.
> > ________________________________________________________________
> > *
> > * 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/
> >
>
> *
> * For searches and help try:
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> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
________________________________________________________________
DISCLAIMER:
This e-mail and any files transmitted with it are confidential
and intended solely for the use of the individual or entity to
whom it is addressed. If you are not the intended recipient
you are prohibited from using any of the information contained
in this e-mail. In such a case, please destroy all copies in
your possession and notify the sender by reply e-mail. Heriot
Watt University does not accept liability or responsibility
for changes made to this e-mail after it was sent, or for
viruses transmitted through this e-mail. Opinions, comments,
conclusions and other information in this e-mail that do not
relate to the official business of Heriot Watt University are
not endorsed by it.
________________________________________________________________
*
* 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/
