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st: -nlcom-, delta method, and the derivative
From
Kristian Karlson <[email protected]>
To
[email protected]
Subject
st: -nlcom-, delta method, and the derivative
Date
Sun, 23 Jan 2011 13:51:15 +0100
Hi,
I am using -nlcom- to get the standard error of a complex transformation
of a regression coefficient of interest. -nlcom- applies the delta
method to get the standard error. I have also done manual calculations
of the standard error. However, I obtain different results than those
produced by -nlcom-. A Monte Carlo study moreover suggests that the SE
produced by -nlcom- is much better than my manual calculation. I would
like to inspect the differences, because I suspect the differences to
exist in the derivatives.
Is it possible for me to obtain the derivative calculated by -nlcom-? I
haven't been able to find any information on this. In the documentation,
I would like to see the G in GVG'.
Thanks.
All the best,
Kristian
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