Monday, March 06, 2006

st: Gradients of regression function after xtprobit

Dear Statalisters, I am trying to implement a Lagrange multiplier test (Wooldridge 1996, Journal of Applied Econometrics. To do this, I need to calculate the gradients of the regression function with respect to two distinct groups of parapeters of the estimated model say [dlnL/da, dlnL/dc]. I think that I have to use something like mlvecsum 'lnf' 'g' = 'g1' but then this will only give the partial derivative dlnL/dc where c=a+b (i.e the entire set of parameters in the model). How can someone get [dlnL/da] and [dlnL/dc] for instance? Would be most grateful if anyone could help. Georgios

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