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st: RE: out-of-sample prediction of shares


From   "Steven Stillman (LMPG)" <Steven.Stillman@lmpg.dol.govt.nz>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: out-of-sample prediction of shares
Date   Wed, 27 Aug 2003 18:04:25 +1200

I recently saw a talk by Phil Cross entitled "Partial identification of
conditional means and variances: using marginal distributions to sharpen
inference on mean regressions" which looks at this type of problem.  His
contact details are available at http://www.georgetown.edu/faculty/pjc22/.
Steve

> -----Original Message-----
> From:	Oleksandr Shepotylo [SMTP:shepotil@econ.umd.edu]
> Sent:	Wednesday, August 27, 2003 4:39 AM
> To:	statalist@hsphsun2.harvard.edu
> Subject:	st: out-of-sample prediction of shares
> 
> Hi statalist group,
> 
> 
> I would greatly appreciate any idea and/ or links to the journal articles
> (books) dealing with the (remotely) similar problem:
> 
>    I have two household surveys of the same population. Survey A has 5,000
> observations and detailed income data but
> is not regionally representative. Survey B has 50,000 households and is
> regionally representative
> but has no income data other than total income derived as
> 
> income = expenditures + savings
> 
> Data sets have a set of common variables X.
> My final goal is to predict income shares from skilled, unskilled labor
> and
> capital in data set B
> based on estimation of income shares from data set A conditioned on X.
> 
> So, my questions are:
> 
> 1 Any suggestion on estimation procedure bearing in mind that dependent
> variables (shares of income
> from skilled labor unskilled labor and capital) are bounded between 0 and
> 1
> and add up to 1.
> 
> 2 Any idea on  better way to predict shares in the data set B based on
> estimations from A. (again the same limitations)
> 
> Thanks,
> 
> Oleksandr.
> 
> 
> 
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