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st: Is -predictnl , force- appropriate for out-of-sample prediction in fake data?


From   "Eva Poen" <eva.poen@gmail.com>
To   Statalist <statalist@hsphsun2.harvard.edu>
Subject   st: Is -predictnl , force- appropriate for out-of-sample prediction in fake data?
Date   Tue, 1 Jul 2008 13:14:27 +0100

Dear all,

this is, in some way, a follow-up question to the one I asked last
week. Austin Nichols explained the easiest way to graph a nonlinear
prediction after estimation, for set values of the covariates; this is
the link to his post:
http://www.stata.com/statalist/archive/2008-06/msg00944.html

What I want to do now is calculate the confidence intervals for these
predictions. To clarify, I created a series of fake data sets, with
very few observations each (10 or so). I use -predict- to obtain
predictions based on the estimates from the original regression (which
had more than 20000 observations), and plot them. Looking at the
manual entry for -predictnl- it appeared that this command is meant to
be used with the original data. If I try to use it in my little fake
data set, I receive the error message "expression is a function of
possibly stochastic quantities other than e(b)". The -force- option,
however, will do it anyway.

Looking at the methods and formulas section in the manual, it was not
quite clear to me at what point I (possibly) wander into dangerous
territory with this approach. Is it appropriate to use -predictnl- in
this way, i.e. to produce standard errors for a prediction with fake
data?

Thanks a lot,
Eva
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