In LIMDEP, how do I get the variance-covariance matrix of a categorical dependent variable regression model?

In LIMDEP, you can use the PrintVC option to print the variance-covariance matrix of a categorical dependent variable regression model.

Consider a multinomial logit regression of Y on X1 and X2. Add the PrintVC option to the MLOGIT command in order to get an estimated asymptotic covariance matrix as follows:

Note that the LHS and RHS subcommands specify dependent and independent variables, respectively.

In the above example, ONE represents the intercept term, and $ indicates the end of a command.

Alternatively, from the main menu, click MODEL, then Discrete choice, and then MLogit to open a dialog box. Select the dependent and independent variables. Click Options, and then select the Display parameter covariance matrix option.

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