[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
Richard Sperling <rsperling@rcn.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Re: Bootstrapping prediction standard error |

Date |
Fri, 24 Aug 2007 07:02:48 -0400 |

Dear list, I posted a question on August 16 with the subject "Bootstrapping prediction standard error." To the best of my knowledge, I did not receive a reply. I also sent the question to a statistician I know. He replied with what I believe is a solution to the problem. I am not going to repeat my question as it was long. In any event, you can find my original post in the Statalist archives. I want to bootstrap the standard error of the prediction for the functional form y = (a + b*x^g) * e, e ~ N(1,\sigma^2). Previously, my statistics friend believes I had been bootstrapping the standard error of the regression rather than the standard error of the prediction. The functional form is the product of two random variables, y = z*e, where z = a + b*x^g. So I can use the bootstrap to estimate the variance of z and the variance of the error, e. Then I can follow Goodman (1960) (http://www.jstor.org/view/01621459/ di985863/98p04677/0) to calculate the exact variance of a product of random variables. My colleague also notes that "[i]f you want to compute a prediction interval, then your distributional assumptions will come into play." I hope this information may be helpful to someone in the future. Richard Sperling * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

- Prev by Date:
**st: Adding Matrices generated from a loop** - Next by Date:
**st: Model-based Clustering** - Previous by thread:
**st: Adding Matrices generated from a loop** - Next by thread:
**st: Model-based Clustering** - Index(es):

© Copyright 1996–2016 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |