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From |
"Song" <raravise@gmail.com> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: Inverse Hyperbolic Transformation with 3SLS |

Date |
Fri, 11 Apr 2008 22:15:56 -0500 |

Dear Stata users, I asked a related question before, but have a few additional questions about inverse hyperbolic sine transformation. I plan to estimate the following model by 3SLS (reg3). IHS(Revenue in each country) = a0 + a1*Time window + controls IHS(Time window) = b0 + b1*(expected) Revenue in each country + controls Time window is difference in launching time (in days) of a product between the US and international markets. Both revenue and time window are skewed, so I want to use some transformation. Because time window includes a lot of zeros and some negative values, I want to use inverse hyperbolic sine transformation. My questions are: 1. Will the model I described above work in the context of system of equations? Since most papers about IHS transformation are described in a single equation context, I am not sure about this. 2. Estimation of scaling parameter Burbidge, Magee, and Robb (1998) use a (concentrated) log-likelihood to estimate the scaling parameter. If I use this method separately for each equation and use the two estimated parameters to transform Revenue and Time window each, and then estimate 3SLS, will it work? I have read the following papers and related Q&A in Statalist archive, but these things are not clear to me. I would appreciate any comment. Burbidge, John B., Lonnie Magee, and A. Leslie Robb (1988), "Alternative Transformations Handle Extreme Values of the Dependent Variable," Journal of the American Statistical Association Pence, Karen M. (2002), "401(k)s and Household Saving: New Evidence from the Survey of Consumer Finances" Pence, Karen M. (2006), "The role of wealth transformation: an application to estimating the effect of tax incentives on saving" Best, Reo. * * 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/

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