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  • Covariance matrix for two different models

    Is there a way to get covariance matrix of coefficients from two different models? I am trying to calculate the covariance for two coefficients from two different regressions.
    Any help appreciated.

  • #2
    Are you looking for something like this?
    Code:
    sysuse auto
    
    logit foreign c.gear_ratio, nolog
    estimates store G
    
    logit foreign c.headroom, nolog
    estimates store H
    
    suest G H
    matrix list e(V) // <- Here

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    • #3
      That would work - unfortunately I estimate instrumental variables model. Suest does not support it...

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      • #4
        But I bet there must be an easy way to do it.

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        • #5
          I think what you are looking for is wither sureg with "isure" option. Or reg3.

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