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st: test for predictive accuracy


From   "carambas" <mcaramba@uni-bonn.de>
To   "Statalist" <statalist@hsphsun2.harvard.edu>
Subject   st: test for predictive accuracy
Date   Sat, 9 Oct 2004 20:15:50 +0200

Dear Statalisters,

I wanted to validate the predictive accuracy of my estimates but could not
find any relevant test in Stata. I was particularly looking for tests like
Theil stats to validate
the predicted values vs actual but couldnt find it.   I had the following
results (sse below) after predict and I just want to know how good the
predictions are. Is there any way in Stata that I can do some validation
how good the regression (-xtpcse-) estimates could predict the dependent
variable, other than the graphs?

Thanks.


Cristina






predict yhat
 sort time label
 table time label, c(mean yield mean yhat)

------------------------------
          |       label
     time |        0         1
----------+-------------------
        1 | 311.2743  306.1385
          |  305.026  311.0978
          |
        2 | 315.9229  299.9346
          | 311.8012  319.4947
          |
        3 | 325.5143  328.4192
          | 318.5678  325.8331
          |
        4 | 302.1857  343.7077
          | 324.1809  334.4826
          |
        5 |    336.5  336.9846
          | 330.8871   340.565
          |
        6 |
          | 337.6405  347.3184
          |
        7 |
          |  344.394  354.0718
          |
        8 |
          | 351.1474  360.8253
          |
        9 |
          | 357.9008  367.5787
          |
       10 |
          | 364.6542  374.3321
          |
       11 |
          | 371.4077  381.0856
          |
       12 |
          | 378.1611   387.839
          |
       13 |
          | 384.9145  394.5924
          |
       14 |
          |  391.668  401.3459
          |
       15 |
          | 398.4214  408.0993
          |
       16 |
          | 405.1748  414.8527
          |
       17 |
          | 411.9283  421.6062
          |
       18 |
          | 418.6817  428.3596
          |
       19 |
          | 425.4351   435.113
          |
       20 |
          | 432.1886  441.8665
------------------------------

.
.

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