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Re: st: standard error of variance covarance
From
Austin Nichols <[email protected]>
To
[email protected]
Subject
Re: st: standard error of variance covarance
Date
Sat, 10 Jul 2010 16:59:09 -0400
Xiling Zhou <[email protected]> wrote:
Except, divide by N-1 for the var-cov matrix...
clear all
prog vcov, eclass
if replay() {
syntax [anything] [, EForm(string) Level(real 95)]
eret di, eform(`eform') level(`level')
}
else {
syntax varlist [, EForm(string) Level(real 95)]
marksample touse
qui count if `touse'
loc N=r(N)
tempname V v
mat accum `V'=`varlist', nocons dev
mat `v'=vec(`V')
mat `v'=(`v')'/(`N'-1)
eret post `v', esample(`touse')
eret local depvar "none"
eret local N `N'
eret local cmd "vcov"
eret local properties "b"
eret di, eform(`eform') level(`level')
}
end
sysuse auto
vcov price mpg headroom trunk weight
bs:vcov price mpg headroom trunk weight
On Sat, Jul 10, 2010 at 4:46 PM, Austin Nichols <[email protected]> wrote:
> Xiling Zhou <[email protected]> wrote:
>
> You can bootstrap, like so:
> On Sat, Jul 10, 2010 at 3:35 AM, Xiling Zhou <[email protected]> wrote:
>> Yes, I do mean that. I'm trying to find standard error for elements of the
>> variance-covariance matrix.
>
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