Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: Recovering Jacobian from gmm estimate
From
Tony Stata <[email protected]>
To
[email protected]
Subject
Re: st: Recovering Jacobian from gmm estimate
Date
Fri, 4 Oct 2013 11:54:52 -0500
Ah, apologies. That was not intentional. The name (Tony Ditta) should
be corrected now.
On Fri, Oct 4, 2013 at 11:41 AM, Nick Cox <[email protected]> wrote:
> Please see point 2.1.3 in the FAQ about using full real names on Statalist.
> Nick
> [email protected]
>
>
> On 4 October 2013 16:52, Tony Stata <[email protected]> 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/
*
* 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/