Re: st: Est. of variance for non-linear comb. of parameters (Krinsky-Robb)

["M.Parameswaran" <mpeswaran@gmail.com>]

Hi Jesper,
To estimate standard error of a non-liner combination of estimates
you can use stata command "predictnl".
best wishes
Parameswaran

On 18/07/06, Arne Risa Hole <arnehole@gmail.com> wrote:
> Hi Jesper
>
> You can calculate the bootstrap variances (and CIs) of your WTP
> measures by runnning the following command:
>
> bootstrap (-_b[H1]/_b[H5]) (-_b[H2]/_b[H5]) (-_b[H3_varm]/_b[H5]) ///
> (-_b[H3_kold]/_b[H5]) (-_b[H4]/_b[H5]) (-_b[_cons]/_b[H5]), ///
> reps(1000): xtlogit  choice H1 H2 H3_varm H3_kold H4 H5, re
>
> I have written a Stata module that calculates Krinsky Robb CIs for WTP
> measures which should be straightforward to tweak into calculating the
> variance as well. I will send this to you off-list.
>
> Best wishes
> Arne
>
> On 18/07/06, Jesper Kjær Hansen <kjaer.hansen@oncable.dk> wrote:
> > Would anyone on the list be kind enough to give me advice on how
> > to implement the procedure for estimation of variance for non-
> > linear combinations of parameter estimates (e.g. elasticities),
> > as described by Krinsky & Robb (1986), in Stata?
> >
> > I use data from a Discrete Choice Expmeriment to estimate a
> > choice model with xtlogit, i.e.
> >
> > -xtlogit choice H1 H2 H3_varm H3_kold H4 H5, re-
> >
> > where H* are the attributes describing the choice situation.
> > Afterwards, I calculate Willingness-to-Pay measures, e.g.
> >
> >  (WTP_H4: - _b[H4]/_b[H5])
> >  where H5 is the price attribute.
> >
> > I would like to estimate the variance of WTP using the
> > (simulation) method proposed by Krinsky-Robb or alternatively
> > another simulation method (for example, I know how to bootstrap
> > the original parameter estimates, but is it possible to obtain
> > bootstrap estimates of var(WTP)?).
> >
> > I know that I can obtain a very neat output with WTP's and
> > variance estimates, using -nlcom-, which uses the delta method
> > for estimating variance estimates. I have already done that. I
> > would like to compare the various variance estimates obtained,
> > which is why I'm trying to implement alternative methods.
> >
> >
> > -- J. K. Hansen
> >
> >
> > For an example, see:
> >
> >  view http://www.nat.sdu.dk/users/nat-sdu/jkha01/data/jorgen.txt
> >
> > or do:
> >
> >  do http://www.nat.sdu.dk/users/nat-sdu/jkha01/data/jorgen.do
> >
> > Reference:
> > Krinsky, Itzhak & A. Leslie Robb (1986), "On Approximating the
> > Statistical Properties of Elasticities", The Review of Economics
> > and Statistics, MIT Press, vol. 68(4), pages 715-19, November.
> >
> > *
> > *   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:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/

--
___________________________________
M. Parameswaran,
Research Associate,
Centre for Development Studies,
Prasanth Nagar Road, Ulloor.
Trivandrum - 695 011,
Kerala, India.
Phone: +91-471-2448881 (O)
           +91 - 09446506388 (mobile)
e-mail: parameswaran@cds.ac.in
          mpeswaran@gmail.com

*
*   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/