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st: -xsmle- updated on SSC
From
Federico Belotti <[email protected]>
To
Stata List <[email protected]>
Subject
st: -xsmle- updated on SSC
Date
Fri, 5 Jul 2013 11:48:28 +0200
With many thanks as ever to Kit Baum, -xsmle- has been updated on SSC.
This new version fixes small bugs and implements two new features:
1) When the variance-covariance matrix is not positive definite, direct, indirect and total effects standard errors are computed using a modified positive definite matrix as in Rebonato and Jackel (2000);
2) the new option -hausman- performs the robust Hausman test, automatically detecting the alternative estimator (-fe- or -re-). The test is computed estimating the variance covariance matrix of the difference between -fe- and -re- estimators as in White (1982), thus avoiding (in general) inconsistency non-positive definiteness of the variance covariance matrix (of the difference). Hence, this option allows to perform the test when the official -hausman- command fails.
-ssc install xsmle, replace- to get the updated version.
Best,
Federico
References
Rebonato, R., Jackel, P., 2000. The most general methodology to create a valid correlation matrix for risk management and option pricing purposes. J. Risk 2 (2), 17–26.
White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, vol. 50(1), pages 1-25, January.
--
Federico Belotti, PhD
Research Fellow
Centre for Economics and International Studies
University of Rome Tor Vergata
tel/fax: +39 06 7259 5627
e-mail: [email protected]
web: http://www.econometrics.it
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