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From | Nick Cox <njcoxstata@gmail.com> |
To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
Subject | Re: st: Recovering Jacobian from gmm estimate |
Date | Fri, 4 Oct 2013 17:41:32 +0100 |
Please see point 2.1.3 in the FAQ about using full real names on Statalist. Nick njcoxstata@gmail.com On 4 October 2013 16:52, Tony Stata <tony.stata@gmail.com> wrote: > Hello everyone, > > To calculate the asymptotic variance of the gmm estimate, Stata > numerically calculates the Jacobian matrix (unless the analytic > derivatives are supplied manually). What is the best way to recover > this matrix and store it locally? > > A few comments: > > (i) For reference, I'm referring to the G_bar(Beta_hat) matrix in > equation 5 in the gmm section of the Stata Reference Manual (Release > 12) > > (ii) It would be possible to numerically calculate the Jacobian after > estimation, but that could be computationally costly, and Stata has > already done that computation, so it would be nice to avoid that > redundancy > > (iii) From what I can tell, all the other matrices in the asymptotic > variance calculation are being saved in e() by gmm: e(W) is the weight > matrix, e(S) is the moment var-cov matrix, and e(V) is the parameter > var-cov matrix, but I can't find the Jacobian > > Thanks! > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/