A computational trick for delta-method standard errors

被引：82

作者：

Papke, LE ^{[1
]}

Wooldridge, JM ^{[1
]}

机构：

[1] Michigan State Univ, Dept Econ, E Lansing, MI 48824 USA

来源：

ECONOMICS LETTERS | 2005年 / 86卷 / 03期

关键词：

asymptotic standard error; delta method; nonlinear function; robust standard error;

D O I：

10.1016/j.econlet.2004.07.022

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We show how to compute the standard error for a nonlinear function of regression coefficients using a simple substitution trick. We use the method to obtain a standard error for the long-run effect in a dynamic panel data model. (c) 2004 Elsevier B.V. All rights reserved.

引用

页码：413 / 417

页数：5

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