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From |
Steve Samuels <sjsamuels@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: AW: confidence interval of a ratio of coefficients |

Date |
Fri, 9 Apr 2010 10:07:01 -0400 |

Thanks, Arne! Steve : ************************************ sysuse auto, clear set seed 2940688 logit foreign price weight rep78 nlcom - _b[price]/_b[weight] //ratio logit foreign price weight rep78 wtp price weight, delta wtp price weight, fieller wtp price weight, krinsky reps(2000) bootstrap ratio = (-_b[price]/_b[weight]), rep(500): logit foreign price weight estat bootstrap, bc ***************************** On Fri, Apr 9, 2010 at 8:56 AM, Arne Risa Hole <arnehole@gmail.com> wrote: > Steve, Martin and Shehzad, > > I've written the -wtp- module (available from SSC) with this > particular problem in mind. It calculates CIs for the ratio of two > coefficients using either the delta method, Fieller's method or the > parametric bootstrap. I've done some simulations to investigate which > method is more accurate, they are reported in the paper referenced in > the -wtp- help file. > > Arne > > On 9 April 2010 13:14, Steve Samuels <sjsamuels@gmail.com> wrote: >> The following paper >> (http://mrvar.fdv.uni-lj.si/pub/mz/mz1.1/cedilnik.pdf) shows that the >> distribution of the ratio of two jointly-Normal variables is far from >> simple. This suggests to me that a bootstrap may be the best approach >> to the CI that Shehzad originally asked for. >> >> Steve >> >> On Thu, Apr 8, 2010 at 5:29 PM, Steve Samuels <sjsamuels@gmail.com> wrote: >>> Martin, >>> >>> I have to withdraw that code. It gives incorrect results if the ratio >>> is negative. So, your original -nlcom- statement is Shehzad's best >>> approach. Note, however that the confidence intervals for the ratio >>> and for 1/ratio are not compatible (perhaps "consonant" is the better >>> word). One set of limits cannot be derived by inverting the endpoints >>> of the other set. >>> >>> Steve >>> >>> >>> ******************** >>> sysuse auto, clear >>> logit foreign rep78 price weight >>> >>> nlcom _b[price]/_b[weight] //ratio >>> nlcom _b[weight]/_b[price] // 1/ratio >>> *********************** >>> >>> >>> >>> >>> On Thu, Apr 8, 2010 at 3:52 PM, Martin Weiss <martin.weiss1@gmx.de> wrote: >>>> >>>> <> >>>> >>>> Steve, >>>> >>>> are you following your own script with this code, or is it necessary for >>>> Shehzad to obtain a correct answer? >>>> >>>> HTH >>>> Martin >>>> >>>> >>>> -----Original Message----- >>>> From: owner-statalist@hsphsun2.harvard.edu >>>> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Steve Samuels >>>> Sent: Donnerstag, 8. April 2010 21:40 >>>> To: statalist@hsphsun2.harvard.edu >>>> Subject: Re: st: AW: confidence interval of a ratio of coefficients >>>> >>>> Here are some details. It's necessary to operate on the log of the >>>> absolute value of the ratio and attach the sign afterwards: >>>> >>>> ************* >>>> sysuse auto, clear >>>> logit foreign rep78 price weight >>>> local sgn = sign(_b[price]/_b[weight]) >>>> >>>> nlcom _b[price]/_b[weight] //ratio >>>> nlcom log(abs( _b[price]/_b[weight])) //log ratio >>>> return list >>>> local lratio = el(r(b),1,1) >>>> local ratio = `sgn'*exp(`lratio') >>>> local bound = invnormal(1-.05/2)*sqrt(el(r(V),1,1)) >>>> local llim = exp(`lratio' -`bound') >>>> local ulim = exp(`lratio' + `bound') >>>> di "ratio = " `ratio' " llimit = " `llim' " ulimit = " `ulim' >>>> ************* >>>> >>>> >>>> On Wed, Apr 7, 2010 at 1:21 PM, Steve Samuels <sjsamuels@gmail.com> wrote: >>>>> Martin is right, but I think that this calculation is better done on >>>>> the log of the ratio and then converted back to the ratio scale. In >>>>> that way, the CIs for x/y and y/x will be compatible. >>>>> >>>>> Steve >>>>> >>>>> On Wed, Apr 7, 2010 at 11:53 AM, Martin Weiss <martin.weiss1@gmx.de> >>>> wrote: >>>>>> >>>>>> <> >>>>>> >>>>>> >>>>>> >>>>>> ************* >>>>>> sysuse auto, clear >>>>>> logit foreign rep78 price weight >>>>>> nlcom (ratio: _b[price]/_b[weight]) >>>>>> ************* >>>>>> >>>>>> >>>>>> >>>>>> HTH >>>>>> Martin >>>>>> >>>>>> >>>>>> -----Ursprüngliche Nachricht----- >>>>>> Von: owner-statalist@hsphsun2.harvard.edu >>>> [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Shehzad Ali >>>>>> Gesendet: Mittwoch, 7. April 2010 17:50 >>>>>> An: Stata List >>>>>> Betreff: st: confidence interval of a ratio of coefficients >>>>>> >>>>>> Dear listers, >>>>>> >>>>>> I am modelling choice behaviour using a logit model. I want to calculate >>>> the marginal rates of subsititution of the attributes of choice alternatives >>>> by taking the ratio of coefficients (similar to what people do when >>>> calculating willingness to pay estimates by taking attribute/cost >>>> coefficients). I need help with calculating the confidence interval around >>>> the ratio of two coefficients. >>>>>> >>>>>> Any help would be appreciated. >>>>>> Shehzad >>>>>> >>>>>> >>>>>> >>>>>> >>>>>> * >>>>>> * 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/ >>>>>> >>>>> >>>>> >>>>> >>>>> -- >>>>> Steven Samuels >>>>> sjsamuels@gmail.com >>>>> 18 Cantine's Island >>>>> Saugerties NY 12477 >>>>> USA >>>>> Voice: 845-246-0774 >>>>> Fax: 206-202-4783 >>>>> >>>> >>>> >>>> >>>> -- >>>> Steven Samuels >>>> sjsamuels@gmail.com >>>> 18 Cantine's Island >>>> Saugerties NY 12477 >>>> USA >>>> Voice: 845-246-0774 >>>> Fax: 206-202-4783 >>>> >>>> * >>>> * 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/ >>>> >>> >>> >>> >>> -- >>> Steven Samuels >>> sjsamuels@gmail.com >>> 18 Cantine's Island >>> Saugerties NY 12477 >>> USA >>> Voice: 845-246-0774 >>> Fax: 206-202-4783 >>> >> >> >> >> -- >> Steven Samuels >> sjsamuels@gmail.com >> 18 Cantine's Island >> Saugerties NY 12477 >> USA >> Voice: 845-246-0774 >> Fax: 206-202-4783 >> >> * >> * 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/ > -- Steven Samuels sjsamuels@gmail.com 18 Cantine's Island Saugerties NY 12477 USA Voice: 845-246-0774 Fax: 206-202-4783 * * 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: AW: confidence interval of a ratio of coefficients***From:*Steve Samuels <sjsamuels@gmail.com>

**References**:**st: confidence interval of a ratio of coefficients***From:*Shehzad Ali <drshehzad_ali@yahoo.com>

**Re: st: AW: confidence interval of a ratio of coefficients***From:*Steve Samuels <sjsamuels@gmail.com>

**Re: st: AW: confidence interval of a ratio of coefficients***From:*Steve Samuels <sjsamuels@gmail.com>

**Re: st: AW: confidence interval of a ratio of coefficients***From:*Steve Samuels <sjsamuels@gmail.com>

**Re: st: AW: confidence interval of a ratio of coefficients***From:*Steve Samuels <sjsamuels@gmail.com>

**Re: st: AW: confidence interval of a ratio of coefficients***From:*Arne Risa Hole <arnehole@gmail.com>

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