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st: Stgest command returning unexpected results


From   Chelsea Erickson <chelseae@email.unc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Stgest command returning unexpected results
Date   Wed, 17 Dec 2008 14:16:20 -0500

Dear Stata Users,

I am using the stgest command from The Stata Journal Vol. 2 No. 2 (2002) to implement G-estimation in Stata 10.

Using my data, I have a reasonable range of values for the psi estimate that correspond to a z value of 0. (I found this range using a grid search.) However, the bisection search algorithm does not work properly in identifying the point estimate or the confidence interval for psi because smaller values of psi correspond to smaller z-values and accordingly, larger values of psi correspond to larger z-values. This trend works in the opposite direction than that suggested by the algorithm in Sterne and Tilling's example in the original article.

I'm wondering what these results mean or if there's potential for more than one solution to the estimate of psi?

I've pasted results I've gotten so far using the grid search option. (Note: The confidence limits below are reversed because of this unexpected trend.)


Thank you,
Chelsea Erickson


    +-----------------------------+
    |  psi       pval           z |
    |-----------------------------|
 1. |   -2   .1536383   -1.426797 |
 2. | -1.9   .1533419   -1.427826 |
 3. | -1.8   .1529408   -1.429221 |
 4. | -1.7   .1524907   -1.430789 |
 5. | -1.6   .1506994   -1.437066 |
    |-----------------------------|
 6. | -1.5   .1509089   -1.436329 |
 7. | -1.4   .1513166   -1.434896 |
 8. | -1.3   .1521363   -1.432026 |
 9. | -1.2   .1536152   -1.426877 |
10. | -1.1   .1560282   -1.418557 |
    |-----------------------------|
11. |   -1   .1596726   -1.406174 |
12. |  -.9   .1648646   -1.388895 |
13. |  -.8    .171939      -1.366 |
14. |  -.7   .1812494   -1.336918 |
15. |  -.6   .1921174   -1.304341 |
    |-----------------------------|
16. |  -.5   .2075079   -1.260448 |
17. |  -.4   .2261214    -1.21041 |
18. |  -.3   .2484346    -1.15416 |
19. |  -.2   .2748978   -1.091853 |
20. |  -.1   .3059151   -1.023831 |
    |-----------------------------|
21. |    0   .3418189   -.9505774 |
22. |   .1   .3828435   -.8726691 |
23. |   .2   .4290949   -.7907415 |
24. |   .3   .4805235   -.7054608 |
25. |   .4   .5369009   -.6175062 |
    |-----------------------------|
26. |   .5   .5978044   -.5275605 |
27. |   .6    .662615   -.4363057 |
28. |   .7   .7305279   -.3444234 |
29. |   .8    .800581   -.2525952 |
30. |   .9   .8716983   -.1615017 |
    |-----------------------------|
31. |    1   .9427495   -.0718146 |
32. |  1.1   .9873754    .0158232 |
33. |  1.2   .9196773    .1008402 |
34. |  1.3   .8549415    .1828171 |
35. |  1.4   .7936096    .2616262 |
    |-----------------------------|
36. |  1.5   .7356226    .3376558 |
37. |  1.6   .6802456    .4121279 |
38. |  1.7     .62593    .4874634 |
39. |  1.8   .5703663    .5675122 |
40. |  1.9   .5109847    .6573053 |
    |-----------------------------|
41. |    2   .4460377    .7620375 |
42. |  2.1   .3758833    .8855069 |
43. |  2.2   .3035411    1.028869 |
44. |  2.3   .2338706    1.190447 |
45. |  2.4   .1717895    1.366476 |
    |-----------------------------|
46. |  2.5   .1206355    1.552112 |
47. |  2.6    .081475    1.742191 |
48. |  2.7   .0534084    1.931604 |
49. |  2.8   .0344012    2.115337 |
50. |  2.9   .0221206    2.288291 |
    |-----------------------------|
51. |    3   .0144889    2.444909 |
52. |  3.1   .0099185    2.578656 |
53. |  3.2   .0073333    2.681317 |
54. |  3.3   .0061042     2.74213 |
55. |  3.4   .0060161    2.746904 |
    |-----------------------------|
56. |  3.5   .0074167    2.677532 |
    +-----------------------------+

G estimate of psi for educ: 1.100 (95% CI 2.700 to -1.600)








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