Hi all!
I'm trying to compute the jackknife variance estimate using the formula from Hansen's "Econometrics" (P259) as below (I know I can use "jackknife" command directly but the professor ask to compute and then compare with the result from "jackknife" command):
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I use "forvalues" to form a loop to get the value of all hii (in my code: hi), and I want to further calculate the residual with a tilt on the head. However, when I use a new loop to get e_tilt for each observation i, it says
. I suppose it is because my hii is in old loop so I cannot use it in the new loop. So I'm thinking of creating a new matrix and store each hii into the matrix, what command should I use? And is there any other way that can use the hii directly?
My code is attached below, where x is my regressor(only one) generated from a standard normal distribution, h`i' is hii , e_hat is the residual generated by "predict y, residuals".
Thank you so much!
I'm trying to compute the jackknife variance estimate using the formula from Hansen's "Econometrics" (P259) as below (I know I can use "jackknife" command directly but the professor ask to compute and then compare with the result from "jackknife" command):
I use "forvalues" to form a loop to get the value of all hii (in my code: hi), and I want to further calculate the residual with a tilt on the head. However, when I use a new loop to get e_tilt for each observation i, it says
Code:
conformability error
My code is attached below, where x is my regressor(only one) generated from a standard normal distribution, h`i' is hii , e_hat is the residual generated by "predict y, residuals".
Thank you so much!
Code:
//create X'X from sample mat accum xprimex = x mat li xprimex //generate hii or each observation forvalues i = 1(1)100 { mat matx`i' = matx[`i', 1] mat h`i' = matx`i''*xprimex*matx`i' //here xi is scalar mat li h`i' } //e_tilt = inv(1-hi)*e_hat mkmat ehat, matrix(mehat) mat li mehat forvalues i = 1(1)100{ mat mehat`i' = mehat[`i',1] mat e_tilt`i' = ((1-h`i')^(-1))*mehat`i' *mat li e_tilta`i' }