[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
Evans Jadotte <evans.jadotte@uab.es> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Cumulative probabilities |

Date |
Wed, 21 Oct 2009 15:08:42 +0200 |

Austin Nichols wrote:

Evans Jadotte <evans.jadotte@uab.es> : What's z in (z-xb-...) below? If you are calculating an estimate of e in the numerator, and dividing by the estimate of the SD of e, then you are calculating the Z score of the idiosyncratic error, and Phi(Z). What is this for? Can you provide refs for what "some books suggest" ? On Tue, Oct 20, 2009 at 11:16 AM, Evans Jadotte <evans.jadotte@uab.es> wrote:Hello listers, Sorry for sending this message again but I realized some characters did not appear too well. I am estimating cumulative probabilities of the following function: Yijk = b0 +b1Xijk + eijk + u.jk + u..k where u.jk and u..k are two random intercepts with variance Sigma^2 (u.jk) and Sigma^2 (u..k). The variance of my raw residuals is Sigma^2 (eijk). The cumulative probabilities I want to calculate are of the form: Phi((z-xb-uhat.jk - uhat../k/)/sqrt(?)) where Phi denotes the standard normal cumulative density. My question is: should the square root, sqrt, in the denominator contain just the variance of the raw residuals, i.e. Sigma^2 (eijk), as some books suggest? Or should it bear, according to my logic, the total variance of the model, which would be the sum Sigma^2 (e ijk) + Sigma^2 (u.jk) + Sigma^2 (u..k)? And finally, what would be the statistics rationale for using the former instead of the latter formula? Thanks in advance, Evans* * 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/

Hi Austin,

Pr(Yijk < z) = Phi((z-xb-uhat.jk - uhat..k)/sqrt(?))

Thanks! Evans * * 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/

**Follow-Ups**:**Re: st: Cumulative probabilities***From:*Austin Nichols <austinnichols@gmail.com>

**References**:**st: Cumulative probabilities***From:*Evans Jadotte <evans.jadotte@uab.es>

**Re: st: Cumulative probabilities***From:*Austin Nichols <austinnichols@gmail.com>

- Prev by Date:
**st: RE: AW: tsset for GARCH estimation with repeating dates** - Next by Date:
**Re: st: Event Study Methodology using a GARCH Model** - Previous by thread:
**Re: st: Cumulative probabilities** - Next by thread:
**Re: st: Cumulative probabilities** - Index(es):

© Copyright 1996–2017 StataCorp LLC | Terms of use | Privacy | Contact us | What's new | Site index |