Cluster-Robust Standard Errors in Maximum Likelihood Estimation

조회 수: 18 (최근 30일)
IL
IL 2016년 1월 18일
I am estimating a model on pooled panel data by Maximum Likelihood using fminunc. I want to compute the cluster-robust standard errors after the estimation. This is a sandwich estimator, where the "bread" is given by the inverse Hessian and the "meat" involves the contribution of the k-th group to the score vector. I get the Hessian straight out of the fminunc algorithm.
But: How do I use the fminunc output to compute the contribution of the k-th group to the score vector?
Or, how would I alternatively compute the cluster-robust standard errors after minimizing the minus log-Likelihood function?

답변 (0개)

카테고리

Help CenterFile Exchange에서 Dimensionality Reduction and Feature Extraction에 대해 자세히 알아보기

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by