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RE: st: retransformation
I wanted to compare results from different estimators for a seminar.
In the Manning article he states in stata doing ln OLS hetero - is he mean OLS with Robust?
From: Chris Bojke [mailto:email@example.com]
Sent: Wed 9/4/2002 11:43 AM
Subject: Re: st: retransformation
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,
For further background reading 'Duan' seems to have done a lot of work
on this subject
Hope this is of help
"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/