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

 From John Antonakis To statalist@hsphsun2.harvard.edu Subject Re: st: Returning a p-value for simulation Date Sun, 10 May 2009 10:58:36 +0200

```Hi Eva:

OK...this does the trick.

Best,
J.

____________________________________________________

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
____________________________________________________

On 10.05.2009 10:43, Eva Poen wrote:
```
```<>

John,

apologies, I didn't actually write a myprobit before sending the post,
so I guessed about what the variable names after simulation will be
from my previous simulations. It turns out that they would be _b_x1
and _b_x2, not y_b_x1 and y_b_x2 (same for standard deviations).
Therefore, just drop the leading y everywhere in the loop, and
everything should work fine. Here is a working example.

****************
matrix mean = 2,2
matrix sd = 1,4
matrix corr = 1,0.5\0.5,1
capture program drop myprobit
program myprobit
drop _all
set obs 1000
drawnorm x1 x2, mean(mean) sd(sd) corr(corr) cstorage(full)
gen eps = rnormal(0,1)
gen ystar = 5+3*x1-2*x2+eps
gen y = normal(ystar)>0.5

probit y x1 x2
end

simulate _b _se, reps(50) seed(123) : myprobit

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

*****************

Hope this helps,
Eva

Eva

2009/5/10 John Antonakis <john.antonakis@unil.ch>:
```
```Hi Eva:

Working with your solution first--it seems to be simple to use.  So I have
three RHS variables.  Everything works fine until this point:

. foreach v in x z q {
2.   gen t_`v' = y_b_`v'/y_se_`v'
3.   gen p_`v' = 2*(1-normal(abs(t_`v'))
4. }
r(111);

Can you tell what's wrong?

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
____________________________________________________

On 10.05.2009 09:53, Eva Poen wrote:
```
```<>

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
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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