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Re: st: Returning a p-value for simulation


From   Eva Poen <eva.poen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Returning a p-value for simulation
Date   Sun, 10 May 2009 08:53:34 +0100

<>

If John wishes to return coefficients and associated statistics after
estimation for a simulation he might want employ an eclass program.
This way, he can easily access coefficients and standard errors, and
calculate t-statistics and p-values afterwards. Here is an example:


*******************
program myprobit, eclass
   ...
   probit y x1 x2
end

simulate _b _se , reps(1000) seed(123) saving(myprobit, replace
every(50)) : myprobit

use myprobit

foreach v in x1 x2 {
  gen t_`v' = y_b_`v'/y_se_`v'
  gen p_`v' = 2*(1-normal(abs(t_`v'))
}
**********************

Hope this helps,
Eva


2009/5/9 John Antonakis <john.antonakis@unil.ch>:
> 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
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> CH-1015 Lausanne-Dorigny
> Switzerland
>
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>
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>
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> ____________________________________________________
>
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