Stata tip 97: Getting at ρs and σs
Maarten L. BuisThe Stata Journal (2011) Vol. 11 No. 2, pp. 315-317.
Abstract
There are a number of models in Stata that estimate additional coefficients besides regular ‘regression-like’ coefficients. Often these have an interpretation as a standard deviation or a correlation of either error terms or random coefficients. Examples are xtmixed or heckman. Sometimes we want access to these coefficients to perform a test or impose a constraint. However, getting access to these parameters is not always straightforward. The problem is that Stata programs often do not estimate these coefficients directly but a transformed version of those parameters. In this Stata tip I will illustrate how to recover these parameters, test hypotheses, and impose constraints.