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st: re: problem using predictnl after obtaining non-linear estimates


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: problem using predictnl after obtaining non-linear estimates
Date   Sun, 26 Oct 2008 12:11:46 -0400

<>
Lopa said
I have a general question about predictnl and that is does it evaluate any function as in any NL function of the parameters and some explanatory variables or does it only predict dependent variables as is usually done.



[R] predictnl -- Obtain nonlinear predictions, standard errors, etc., after
                       estimation

That help indicates that " pnl_exp is any valid Stata expression" so that you may calculate any function for each observation, not just the standard predicted value.

In Stata 10 help,

When calculating inference-related quantities such as standard errors, pnl_exp is evaluated repeatedly for different values of the model parameters. Therefore, think of predict() and xb() as a means of substituting for the formula of the calculation and not a means of substituting the value of the calculation that is obtained when
    the model parameters are set to any specific values.  For example,

        . predict double pred_var, predict_options
        . predictnl newvar = pred_var, se(newvar_se)

will give standard errors (newvar_se) equal to zero, since once evaluated, pred_var
    will contain values that are fixed with respect to e(b).  Instead,

        . predictnl newvar = predict(predict_options), se(newvar_se)

    will produce what is intended.



which states that zero standard errors will result. I have no idea whether it works this way in Stata 8.2.


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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