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From |
Alan Neustadtl <alan.neustadtl@gmail.com> |

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

Subject |
Re: st: standard error of the forecast using -margins- |

Date |
Sat, 13 Mar 2010 11:07:39 -0500 |

About a week ago I posted a question to the list about using -margins- to calculate prediction or forecast intervals which didn't generate any responses. I posed my question to Stata technical support and Wes Eddings sent me two solutions that I am posting here to close this topic. My original post is at the bottom. Best, Alan ***** Stata Tech Support Response ***** Dear Alan, Yes, you can use -margins-. If you try to use -margins, predict(stdf)-, though, you will get an error when the calculation of the standard error fails. (Please see the subsection "Requirements for model specification" in -[R] margins-.) You'll need to use the -nose- option to prevent the error: . margins, predict(stdf) nose Here's a complete example that uses -margins- to replicate the intervals from -adjust-: * begin example sysuse auto, clear regress price mpg local dfr = e(df_r) margins, predict(stdf) nose at(mpg = (20(5)40)) post matrix stdf = e(b) regress price mpg margins, predict(xb) nose at(mpg = (20(5)40)) post matrix xb = e(b) clear matrix stdfxb = [stdf \ xb]' svmat stdfxb generate lb = stdfxb2 - invttail(`dfr', .025) * stdfxb1 generate ub = stdfxb2 + invttail(`dfr', .025) * stdfxb1 list * end example If you have any other questions, please let us know. Sincerely, Wes Dear Alan, Here's a more compact set of commands: * begin commands sysuse auto, clear regress price mpg margins, predict(xb) at(mpg=(20(5)40)) matrix b = r(b) matrix V_f = ((r(V)/e(rmse)^2 + I(colsof(r(V)))))*e(rmse)^2 _coef_table, bmat(b) vmat(V_f) * end commands Our developers are considering whether to add a new feature to -margins-. Sincerely, Wes ***** End Stata Tech Support Response ***** On Fri, Mar 5, 2010 at 3:52 PM, Alan Neustadtl <alan.neustadtl@gmail.com> wrote: > After examining the manual I cannot find a -margins- equivalent to > -adjust, ci stdf- in Stata 11. > > Is there a way to calculate the standard error of the forecast and the > associated forecast interval? I would like to use the "at" option to > estimate intervals at fixed values of a variable, e.g. > -at(age=(20(10)60))- > * * 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: standard error of the forecast using -margins-***From:*Alan Neustadtl <alan.neustadtl@gmail.com>

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