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From |
"Martin Weiss" <martin.weiss1@gmx.de> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: AW: calculating stdp for interpolation/extrapolation |

Date |
Wed, 16 Sep 2009 00:00:01 +0200 |

<> If you ever wanted to recalculate the three standard errors returned by -predict-, you could employ -mata- to see they are correct... ************* sysuse auto, clear reg we pr disp gen cons=1 predict stdp, stdp predict stdf, stdf predict stdr, stdr tomata cons pr di mata X=(cons, price , displacement) h=diagonal(X*invsym(X'*X)*X') stdp=st_numscalar("e(rmse)")*sqrt(h) stdf=st_numscalar("e(rmse)")*sqrt((1:+h)) stdr=st_numscalar("e(rmse)")*sqrt((1:-h)) //last 10 rows (stdp, stdr, stdf)[(rows(stdf)-9..rows(stdf)),.] end l stdp stdr stdf /* */ in -10/l, noo sep(0) ************* HTH Martin -----Ursprüngliche Nachricht----- Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Ariel Linden, DrPH Gesendet: Dienstag, 15. September 2009 19:17 An: statalist@hsphsun2.harvard.edu Betreff: st: calculating stdp for interpolation/extrapolation Hi All, I would like to calculate 95% CIs for interpolating and extrapolating beyond a range of estimated values in the data-set. I see from running "predict X, stdp" that a different stdp is estimated for each value, but I can't figure out how the stdp is calculated (and thus CI's). The following excerpt from the help file does not clarify things for me: "stdp calculates the standard error of the prediction, which can be thought of as the standard error of the predicted expected value or mean for the observation's covariate pattern. The standard error of the prediction is also referred to as the standard error of the fitted value." Thanks in advance Ariel * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: calculating stdp for interpolation/extrapolation***From:*"Ariel Linden, DrPH" <ariel.linden@gmail.com>

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