# st: Re: Returning a p-value for simulation

 From "Martin Weiss" To Subject st: Re: Returning a p-value for simulation Date Sun, 10 May 2009 09:38:15 +0200

The easiest option for John to achieve his goal is to install -ssc inst parmest- by Roger Newson and then:

******************
sysuse auto, clear
prob for price weight trunk
parmest,saving(myfile, replace)
u myfile, clear
l
******************

If he wants to dig deeper into the calculation of the results, he can replicate them in -mata-:

******************
sysuse auto, clear
prob for price weight trunk
//for z-statistic reporting commands
mata
// suck stuff into mata
b = st_matrix("e(b)")'
V = st_matrix("e(V)")
//standard errors from varcov
se = diagonal(cholesky(diag(V)))
z = b :/ se
//show z
z
//p-values
2*normal(-abs(z))
// CIs
b :- invnormal(0.975):*se, b :+ invnormal(0.975):*se
end
*********************

HTH
Martin
_______________

----- Original Message ----- From: "John Antonakis" <john.antonakis@unil.ch>
To: <statalist@hsphsun2.harvard.edu>
Sent: Sunday, May 10, 2009 12:19 AM
Subject: st: Returning a p-value for simulation

I am running an rclass program that I wish to simulate.

After estimating a probit, I want to save the coefficients, along with the t-stats and the p-values for later simulation. I figured out the former but not the latter two. What I have so far is:

probit y x1 x2
return scalar b1 =_b[x1]
return scalar b2 =_b[x2]

Thanks,
John.

--
____________________________________________________

Prof. John Antonakis
Associate Dean Faculty of Business and Economics
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland

Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305

Faculty page:
http://www.hec.unil.ch/people/jantonakis&cl=en

Personal page:
http://www.hec.unil.ch/jantonakis
____________________________________________________

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