[Limdep Nlogit List] Krinsky and Robb simulation

[William Greene]

Suppose B is the estimate and VARB is the estimated covariance
matrix.  You want a variance for a function f(B).

Calc ; m1 = 0 ; m2 = 0 $
Proc $
Matrix ; br = Rndm (B,VARB) $
Calc ; fr= compute the function of br $
Calc ; m1 = m1 + fr/Nrep ; m2 = m2 + fr*fr/Nrep $
EndProc $
Calc ; Nrep = the desired number $
Exec ; N = Nrep $
Calc ; list ; KR_SD = sqr(m2 - me*m1) $

Note, in the forthcoming version 9.0, you can just add ;K&R to the 
WALD command and it does all the computations for you.

Cheers,
Bill Greene


************************************************
Professor William Greene
Department of Economics
Stern School of Business
New York University
44 West 4th St., Rm. 7-78
New York, NY   10012
Ph. 212.998.0876
Fax. 212.995.4218
URL. http://www.stern.nyu.edu/~wgreene
Email. wgreene at stern.nyu.edu
************************************************

----- Original Message -----
From: Olle Westerlund <olle.westerlund at econ.umu.se>
Date: Friday, November 17, 2006 9:14 am
Subject: [Limdep Nlogit List] Krinsky and Robb simulation

> Hi, anyone who knows how to perform Krinsky and Robb simulation in 
> Limdep? Hint/example of syntax would be much appreciated.
> 
> Thanks on beforehand
> 
> Olle
> 
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