Thanks Marcello and Kit. In my zeal to explain this stuff in a non-technical way, I became too
sloppy.
Maarten
at za 12/24/2005 8:20 Christopher Baum wrote:
> The original statement should read "when you form the
> expression V_r - V_e, the resulting matrix is p.d., implying
> that it has all positive principal minors." That also implies
> that all of the DIAGONAL elements of that matrix are strictly
> positive, but it does not restrict the off-diagonal elements
> from being negative -- it merely means they cannot be 'too
> large'.
>
> The original point regarding the sampling error of coeff.
> estimates should be thought of as "if the estimated variance
> of b_1 is larger in the "efficient" model than in the "robust"
> model, the corresponding element on the diagonal of V_r - V_e
> will be negative, and Stata will complain..."
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