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Re: st: Duan smearing for retransformation


From   Partha Deb <partha.deb@hunter.cuny.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Duan smearing for retransformation
Date   Mon, 17 May 2010 21:22:20 -0400

One of the advantages of using GLM with a log link vis-a-vis taking logs of y is that you do not need a retransformation. Retransformation with Duan (or any other) smearing works only under stated assumptions which may or may not be met. Duan smearing with heteroskedastic errors, as is implied by multilevel models, is far from straightforward although I imagine it could be done. You are much better off with a generalized model.

HTH

Partha


Bontempo, Daniel E wrote:
Hi -

I am looking at LEVPREDICT and thinking about using the mean of
log-residuals (Duan smearning) to eliminate bias in back-transformation
of predictions after regression with log-transformed DV.

My 1st question is whether this correction would be needed to properly
back-transform coefficients after a generalized model with link function
log?

My 2nd question is would this be possible to apply after random
intercept model in xtmixed. If it is possible, would the smearing use
the level-1 residual variance, the level-2 variance, or both? I am
assuming ln_sd of the random components would need to be obtained.

So does this correction seem possible after two-level ri model?

Thanks

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Partha Deb
Professor of Economics
Hunter College
ph:  (212) 772-5435
fax: (212) 772-5398
http://urban.hunter.cuny.edu/~deb/

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