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From |
Todd Wagner <twagner@stanford.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
RE: st: retransformation |

Date |
Wed, 04 Sep 2002 10:06:48 -0700 |

The predlog command works if you can assume homoskedastic errors. You will have to create your own smearing estimator if you want to correct for groupwise heteroskedasticity. Also note that you should use the predlog command with the raw dependent variable (not logged).

Below is some code you could use.

*ln(y) with smearing estimator; homoskedastic errors

reg lncost x1 x2 x3 x4 x5 size2 size3, robust

outreg using escale, bdec(3) replace br

predict resid, resid

predict lny, xb

gen eresid=exp(resid)

egen emean2=mean(eresid)

replace lny=((exp(lny))*emean2)

drop eresid resid emean2

*heteroskedastic smearing estimator, correcting for organizational size

gwhet lncost, i(size_3) *tests to see if groupwise heteroskedasticity exists

reg lncost x1 x2 x3 x4 x5 size_2 size_3, robust

predict resid2, resid

predict lnyhse, xb

gen eresid=exp(resid)

egen emean=mean(eresid), by (size_3)

replace lnyhse=((exp(lnyhse))*emean)

drop eresid resid emean

All the caveats of M&M still apply.

Todd

At 11:55 AM 9/4/2002 -0400, you wrote:

You might to check out Gary King's program called Clarify (GKing.harvard.edu).

It allows you to run a log transformed regression and get predictions in the

raw scale with empirical standard errors based on simulations. It may also

work in this context.

--Michael

>===== Original Message From Chris Bojke <cb23@york.ac.uk> =====

>Judy,

>

>Having read the Manning and Mullahy article then I guess you know that

>you can avoid the need for retransforming for predictions of Y, by using

>GLM regression on the raw scale outcome measure. And (of course) GLM

>regression is very much a part of Stata.

>

>Since I guess you want to persist with doing a log transformation of y

>before regressing and then trying to get predictions of Y then the

>technique you need is called 'smearing' (I don't think M&M actually use

>that term in their excellent article). I've done a 'findit smearing' in

>Stata and it seems that there is something in STB August 9th 2002 (an

>auspicious time to ask your question then!) which will do the trick,

>called predlog.

>

>For further background reading 'Duan' seems to have done a lot of work

>on this subject

>

>

>Hope this is of help

>

>Chris

>

>"Shinogle, Judy" wrote:

>>

>> Does anyone have a program to do the log retransformation for

heteroscedastic errors?

>> (Similar to what is in Manning and Mullahy "Estimating log models: to

transform or not?

>> J. Health Economics 20: 461-494 (2001))

>>

>> In reading the article it looks like lnOLS-Het but not sure what that is?

>>

>> *

>> * For searches and help try:

>> * http://www.stata.com/support/faqs/res/findit.html

>> * http://www.stata.com/support/statalist/faq

>> * http://www.ats.ucla.edu/stat/stata/

________________________________________

Michael Ganz, MS, PhD

Assistant Professor

Dept. of Maternal and Child Health

Harvard School of Public Health

mganz@hsph.harvard.edu

http://www.hsph.harvard.edu/faculty/ganz

Ph. 617-432-2382

Fax 617-432-3755

*

* For searches and help try:

* http://www.stata.com/support/faqs/res/findit.html

* http://www.stata.com/support/statalist/faq

* http://www.ats.ucla.edu/stat/stata/

* * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**RE: st: retransformation***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**References**:**RE: st: retransformation***From:*mganz <mganz@hsph.harvard.edu>

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