[Limdep Nlogit List] NegBin Model Query

Shane Murray shane.murray at memetrics.com
Wed Feb 20 16:03:20 EST 2008


I've been attempting to model some data using a negative binomial model
in LIMDEP.
But I can't find any detail in the LIMDEP manual (version 9.0, section
24) on how the covariance matrix is calculated for this specific model.

I calculated the inverse negative Hessian by hand, but this doesn't seem
to match the covariance output from LIMDEP.
I also attempted to calculate the OPG estimate and sandwich (robust)
estimate of the covariance, but couldn't get these to match either.

Can you please specify what (default) method is used by the software to
calculate the covariance matrix for the Negative Binomial model?

Thanks,
Shane Murray






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