The robust variance estimator for two–stage models Export

@article{hardin:2002, abstract = {This article discusses estimates of variance for two-stage models. We present the sandwich estimate of variance as an alternative to the Murphy–Topel estimate. The sandwich estimator has a simple formula that is similar to the formula for the Murphy–Topel estimator, and the two estimators are asymptotically equal when the assumed model distributions are true. The advantages of the sandwich estimate of variance are that it may be calculated for the complete parameter vector, and that it requires estimating equations instead of fully specified log likelihoods.}, author = {Hardin, James}, citeulike-article-id = {4735885}, citeulike-linkout-0 = {http://www.statajournal.com/article.html?article=st0018}, journal = {The Stata Journal}, keywords = {econometrics, sandwich\_estimator, two\_step}, number = {3}, pages = {253--266}, posted-at = {2009-06-03 19:09:12}, priority = {2}, title = {The robust variance estimator for two–stage models}, url = {http://www.statajournal.com/article.html?article=st0018}, volume = {2}, year = {2002} }

TY - JOUR ID - hardin:2002 L3 - citeulike-article-id:4735885 N2 - This article discusses estimates of variance for two-stage models. We present the sandwich estimate of variance as an alternative to the Murphy–Topel estimate. The sandwich estimator has a simple formula that is similar to the formula for the Murphy–Topel estimator, and the two estimators are asymptotically equal when the assumed model distributions are true. The advantages of the sandwich estimate of variance are that it may be calculated for the complete parameter vector, and that it requires estimating equations instead of fully specified log likelihoods. IS - 3 JF - The Stata Journal EP - 266 TI - The robust variance estimator for two–stage models VL - 2 SP - 253 KW - econometrics KW - sandwich_estimator KW - two_step AU - Hardin, James PY - 2002/// UR - http://www.statajournal.com/article.html?article=st0018 ER -