The robust variance estimator for two-stage models
This article discusses estimates of variance for two-stage models. We present the sandwich estimate of variance as an alternative to the Murphy-Topel estimate. The sandwich estimator has a simple formula that is similar to the formula for the Murphy ÐTopel estimator,and the two estimators are asymptotically equal when the assumed model distributions are true. The advantages of the sandwich estimate of variance are that it may be calculated for the complete parameter vector, and that it requires estimating equations instead of fully specified log likelihoods. Copyright 2002 by Stata Corporation.
Volume (Year): 2 (2002)
Issue (Month): 3 (August)
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Murphy, Kevin M & Topel, Robert H, 1985.
"Estimation and Inference in Two-Step Econometric Models,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 3(4), pages 370-79, October.
- Murphy, Kevin M & Topel, Robert H, 2002. "Estimation and Inference in Two-Step Econometric Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 88-97, January.
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