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st: RE: statalist-digest V4 #2439


From   "roy wada" <roywada@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: RE: statalist-digest V4 #2439
Date   Fri, 25 Aug 2006 10:30:11 -0400

James wants to know about beta coefficients and outreg2.

Standardized beta coefficients can be obtained by first standardizing all
variables to a mean of 0 and a standard deviation of 1. Or you can
deflate each estiamted coefficient by its standard error after the
estimation, which is what outreg2 does. James is using analytic weights
(see http://www.stata.com/support/faqs/stat/crc36.html), which
alters that relationship. I am assuming that Stata is applying the beta
transformation prior to applying the analytic weights, but the application
of analytic weight would likely cause it to violate the beta condition of
zero means and unitary standard deviation - which is probably responsible
for the discrepancy. It would be more meaningful if the analytic weights
were first applied (by hand, if necessary) and then the beta transformation
is conducted. In that case you would have true beta coefficients.

Roy

From: James J Walters <jim.walters@wmich.edu>
Subject: st: Outreg2 beta versus OLS beta

The calculation of standardized coefficients using OLS yields one set of beta values in place of the confidence intervals. The Outreg2 command yields somewhat different values even when derived from the stored values of OLS with the beta option. I am using -aweights- so the -listcoef- has not been helpful interpreting why these values are different. I will appreciate someone pointing me in the right direction.

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