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A computational trick for delta-method standard errors

Economics LettersPublished 12 December 2004
Leslie E. Papke, Jeffrey M. Wooldridge
Citations132
SJR quartileQ2
SJR score0.76
SNIP0.98

TL;DR

This work uses a simple substitution trick to obtain a standard error for the long-run effect in a dynamic panel data model using a nonlinear function of regression coefficients.

Abstract

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.

Keywords

Decision SciencesEconomics, Econometrics and Finance