Stata 8.2, Windows 2000
I'm wondering if somebody has for a solution for what must be a basic
task. After generating some useful regression models to interpret, I'm
looking to automatically generate first-differences in the regression
coefficients.
Let me be clear as to what I mean here, as there are at least two
interpretations of FDs. My desired form of FD is the difference in a
coefficient's value at 1 standard deviation below the zero mean and 1 SD
above. Now, this can be done using one of my favourite user-written Stata
routines - Gary King et al's excellent -clarify- package (downloadable
from SSC) - where you can do this:
. estsimp reg con0105 turn0105 margin01 ownocc91, sims(5000) genname(b)
Source | SS df MS Number of obs = 567
-----------+------------------------------ F( 3, 563) = 10.62
Model | 295.587169 3 98.5290562 Prob > F = 0.0000
Residual | 5223.73578 563 9.27839392 R-squared = 0.0536
-----------+------------------------------ Adj R-squared = 0.0485
Total | 5519.32294 566 9.75145396 Root MSE = 3.046
----------------------------------------------------------------------------
con0105 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-----------+----------------------------------------------------------------
turn0105 | .0319125 .0542078 0.59 0.556 -.0745618 .1383869
margin01 | -.3979688 .1022995 -3.89 0.000 -.5989041 -.1970335
ownocc91 | .0266134 .0119748 2.22 0.027 .0030927 .050134
_cons | -.0630194 1.064416 -0.06 0.953 -2.153731 2.027692
----------------------------------------------------------------------------
[...]
. setx mean
. simqi, fd(ev) changex(turn0105 p15.87 p84.13)
First Difference: turn0105 p15.87 p84.13
Quantity of Interest | Mean Std. Err. [95% Conf. Interval]
-------------------------+--------------------------------------------------
dE(con0105) | .1366748 .2276696 -.3152429 .5821121
Nice and simple: if you're using -reg- or any of the routines supported by
-clarify-. Unfortunately, there are no plans at all to update -clarify-
for Stata users to cover other kinds of regression models, such as the ML
beta-distributed models I'm currently fitting to my data.
Amongst other things, I've tried -findit first differences- and looked at
the help files for -predict- and -adjust-, but nothing doing. I've also
-bootstrap-ped, thus:
. bs "reg con0105 turn0105 margin01 ownocc91" _b _se, size(567) reps(500)
saving(clive) dots
from which, I could obtain:
. sum b_turn0105, detail
_b[turn0105]
-------------------------------------------------------------
Percentiles Smallest
1% -.1167764 -.1452201
5% -.0725563 -.1339739
10% -.0440525 -.1310334 Obs 500
25% -.004207 -.1268797 Sum of Wgt. 500
50% .0329396 Mean .0361172
Largest Std. Dev. .0642915
75% .082854 .1817445
90% .1196568 .1875912 Variance .0041334
95% .1396888 .1922761 Skewness -.0019643
99% .1790191 .254556 Kurtosis 2.90165
for any coefficient. I tried using -pctile- with this, but it wouldn't let
me use the -percentiles()- option:
. pctile pct = b_turn0105, nq(4) p(15.87 50 84.13) genp(pc)
option p() not allowed
r(198);
. pctile pct = b_turn0105, nq(4) percentiles(15.87 50 84.13) genp(pc)
option percentiles() not allowed
r(198);
. pctile pct = b_turn0105, percentiles(15.87 50 84.13) genp(pc)
option percentiles() not allowed
r(198);
. pctile pct = b_turn0105, percentiles(15.87 50 84.13)
option percentiles() not allowed
r(198);
If anyone knows of any canned post-estimation solutions for generating FDs
in regression coefficients, then I'd be very grateful to you.
CLIVE NICHOLAS |t: 0(044)7903 397793
Politics |e: [email protected]
Newcastle University |http://www.ncl.ac.uk/geps
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