help predict dialog: predict
-------------------------------------------------------------------------------
Title
[R] predict -- Obtain predictions, residuals, etc., after estimation
Syntax
After single-equation (SE) models
predict [type] newvar [if] [in] [, single_options]
After multiple-equation (ME) models
predict [type] newvar [if] [in] [, multiple_options]
predict [type] {stub*|newvar1 ... newvarq} [if] [in] , scores
single_options description
-------------------------------------------------------------------------
Main
xb calculate linear prediction
stdp calculate standard error of the prediction
score calculate first derivative of the log likelihood
with respect to xb
Options
nooffset ignore any offset() or exposure() variable
other_options command-specific options
-------------------------------------------------------------------------
multiple_options description
-------------------------------------------------------------------------
Main
equation(eqno[,eqno]) specify equations
xb calculate linear prediction
stdp calculate standard error of the prediction
stddp calculate the difference in linear predictions
Options
nooffset ignore any offset() or exposure() variable
other_options command-specific options
-------------------------------------------------------------------------
Menu
Statistics > Postestimation > Predictions, residuals, etc.
Description
predict calculates predictions, residuals, influence statistics, and the
like after estimation. Exactly what predict can do is determined by the
previous estimation command; command-specific options are documented with
each estimation command. Regardless of command-specific options, the
actions of predict share certain similarities across estimation commands:
1. predict newvar creates newvar containing "predicted values" --
numbers related to the E(y|x). For instance, after linear
regression, predict newvar creates xb and, after probit, creates
the probability F(xb).
2. predict newvar, xb creates newvar containing xb. This may be the
same result as option 1 (e.g., linear regression) or different
(e.g., probit), but regardless, option xb is allowed.
3. predict newvar, stdp creates newvar containing the standard error
of the linear prediction xb.
4. predict newvar, other_options may create newvar containing other
useful quantities; see help for the particular estimation command
to find out about other available options.
5. nooffset added to any of the above commands requests that the
calculation ignore any offset or exposure variable specified by
including the offset(varname_o) or exposure(varname_e) option
when you fit the model.
predict can be used to make in-sample or out-of-sample predictions:
6. predict calculates the requested statistic for all possible
observations, whether they were used in fitting the model or not.
predict does this for the standard options 1 through 3 and
generally does this for estimator-specific options 4.
7. predict newvar if e(sample), ... restricts the prediction to the
estimation subsample.
8. Some statistics make sense only with respect to the estimation
subsample. In such cases, the calculation is automatically
restricted to the estimation subsample, and the documentation for
the specific option states this. Even so, you can still specify
if e(sample) if you are uncertain.
9. predict can make out-of-sample predictions even using other
datasets. In particular, you can
. use ds1
(fit a model)
. use two /* another dataset */
. predict yhat, ... /* fill in the predictions */
Options
+------+
----+ Main +-------------------------------------------------------------
xb calculates the linear prediction from the fit model.
stdp calculates the standard error of the linear prediction.
stddp is allowed only after you have previously fit a multiple-equation
model. The standard error of the difference in linear predictions
between two equations is calculated. This option requires that
equation(eqno1,eqno2) be specified.
score calculates the equation-level score; this is usually the derivative
of the log likelihood with respect to the linear prediction.
scores is the ME model equivalent of the score option, resulting in
multiple equation-level score variables. An equation-level score
variable is created for each equation in the model; ancillary
parameters -- such as ln(sigma) and atanh(rho) -- make up separate
equations.
equation(eqno[,eqno]) -- synonym outcome() -- is relevant only when you
have previously fit a multiple-equation model. It specifies the
equation to which you are referring.
equation() is typically filled in with one eqno -- it would be filled
in that way with options xb and stdp, for instance. equation(#1)
would mean the calculation is to be made for the first equation,
equation(#2) would mean the second, and so on. You could also refer
to the equations by their names. equation(income) would refer to the
equation named income and equation(hours) to the equation named
hours.
If you do not specify equation(), results are the same as if you
specified equation(#1).
Other statistics, such as stddp, refer to between-equation concepts.
In those cases, you might specify equation(#1,#2) or
equation(income,hours). When two equations must be specified,
equation() is required.
+---------+
----+ Options +----------------------------------------------------------
nooffset may be combined with most statistics and specifies that the
calculation should be made, ignoring any offset or exposure variable
specified when the model was fit.
This option is available, even if not documented for predict after a
specific command. If neither the offset(varname_o) option nor the
exposure(varname_e) option was specified when the model was fit,
specifying nooffset does nothing.
other_options refers to command-specific options that are documented with
each command.
Examples
---------------------------------------------------------------------------
Setup
. sysuse auto
. regress mpg weight if foreign
Obtain predictions for just the sample on which we fit the model
. predict pmpg if e(sample)
Obtain out-of-sample prediction using all 74 observations of same dataset
. predict pmpg2
cooksd is a regression-specific option; see [R] regress postestimation
. predict c, cooksd
---------------------------------------------------------------------------
Setup
. sysuse auto, clear
. generate weight2 = weight^2
. regress mpg weight weight2 foreign
. webuse newautos, clear
. generate weight2 = weight^2
Obtain out-of-sample prediction using another dataset
. predict mpg
---------------------------------------------------------------------------
Setup
. sysuse auto, clear
. generate weight2 = weight^2
. regress mpg weight weight2 foreign
Obtain residuals
. predict double resid, residuals
. summarize resid
---------------------------------------------------------------------------
Setup
. sysuse auto, clear
. logistic foreign mpg weight
Obtain probability of a positive outcome; see [R] logistic postestimation
. predict phat
Obtain linear prediction
. predict idxhat, xb
. summarize foreign phat idxhat
---------------------------------------------------------------------------
Setup
. webuse airline, clear
. poisson injuries XYZowned
Obtain predicted count; see [R] poisson postestimation
. predict injhat
Obtain linear prediction
. predict idx, xb
. generate exp_idx = exp(idx)
. summarize injuries injhat exp_idx idx
---------------------------------------------------------------------------
Setup
. sysuse auto, clear
. logistic foreign mpg weight
Obtain single-equation model scores
. predict double sc, score
. summarize sc
---------------------------------------------------------------------------
Setup
. sysuse auto, clear
. sureg (price foreign displ) (weight foreign length)
Obtain linear prediction for price equation
. predict pred_p, equation(price)
Obtain linear prediction for weight equation
. predict pred_w, equation(weight)
. summarize price pred_p weight pred_w
---------------------------------------------------------------------------
Setup
. sysuse auto, clear
. ologit rep78 mpg weight
Obtain multiple-equation model scores
. predict double sc*, scores
. summarize sc*
---------------------------------------------------------------------------
Also see
Manual: [R] predict
Help: [P] _predict, [R] predictnl, [P] _pred_se
