[Limdep Nlogit List] confidence intervals
bills at gra-inc.com
Tue Jul 28 04:14:52 EST 2009
Does anyone have a script to produce prediction confidence intervals for panel data models (one-way or two-way)? For fixed effects the models are essentially OLS, but with a shortcut to estimate the effects. In the manual there is a straightforward description on p. E11-31 of how to produce the effect variances, but of course for confidence intervals you'd need the entire covariance matrix with the off-diagonal terms. I guess you'd need a similar sort of shortcut, otherwise you'll end up with a huge cov matrix.
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