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st: draw parameter values from distribution


From   "Kelchtermans, Stijn" <[email protected]>
To   <[email protected]>
Subject   st: draw parameter values from distribution
Date   Tue, 14 Dec 2004 10:25:41 +0100

All,

I'm estimating a conditional logit model of schooling choice. I want to obtain confidence intervals for the predicted choice probabilities. 

The approach I want to use is the following:
based on the parameter estimates, get 1000 draws from the multivariate normal distribution to generate 1000 alternative parameter values. Using these values, I calculate 1000 choice probabilities. I then drop 2,5% of the values in each tail to get the 95% CI for the choice probabilities.

I can't find Stata commands that allow to automate this procedure. If I use "drawnorm" to get the parameter value, I lose the dataset so I can't calculate the predicted probabilities. The best I can think of is to put the parameter draws in a matrix, read the dataset again and then calculate the probabilities. This seems quite a hassle to program though. 

Any ideas to simplify this?

Many thanks,

Stijn Kelchtermans
Katholieke Universiteit Leuven
Belgium

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