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

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

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

Date |
Fri, 9 Apr 2010 16:35:03 +0200 |

<> " The bootstrap command should have been: bootstrap ratio = (-_b[price]/_b[weight]), rep(500): logit foreign price weight rep78" Where is the difference to your earlier command? HTH Martin -----Ursprüngliche Nachricht----- Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Steve Samuels Gesendet: Freitag, 9. April 2010 16:30 An: statalist@hsphsun2.harvard.edu Betreff: Re: st: AW: confidence interval of a ratio of coefficients The bootstrap command should have been: bootstrap ratio = (-_b[price]/_b[weight]), rep(500): logit foreign price weight rep78 Steve On Fri, Apr 9, 2010 at 10:07 AM, Steve Samuels <sjsamuels@gmail.com> wrote: > 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 rep78 > 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 > -- 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/

**Follow-Ups**:**Re: AW: st: AW: confidence interval of a ratio of coefficients***From:*Shehzad Ali <drshehzad_ali@yahoo.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>

**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>

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