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From |
Maarten buis <maartenbuis@yahoo.co.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Suest v/s biprob in stata 11 |

Date |
Mon, 5 Jul 2010 13:56:38 +0000 (GMT) |

--- On Mon, 5/7/10, Prakash Kashwan wrote: > From your explanation it seems as if biprob accounts for > the correlation between the residuals from constituent > models while suest does not. Am I interpreting it well? Yes > If this is indeed the case, it is problematic because the > way stata runs it, suest is a postestimation command, > which is supposed to look for correlation between the > residuals. Am I to assume that suest is not doing what it > is supposed to do, and I should use biprob instead of > using suest? What purpose does suest (as post-estimation > command) serve then? The way I understand this is that the inference takes this correlation into account in a way that is similar to the way -robust- standard errors take heteroskedasticity into acount without estimating the changing error variance. All that is necesary is that your model for the mean(s) is/are correct. You can see that in the simulation below. You want the p-values of both test to be uniformly distributed as they test an hypothesis that is true in the population, as is discussed in this post: <http://www.stata.com/statalist/archive/2010-06/msg01191.html> *----------------- begin example ----------------- matrix C = (1, .25 \ .25, 1) program drop _all program sim, rclass drop _all drawnorm e1 e2, n(1000) corr(C) gen x = rnormal() gen y1= ( x + e1) > 0 gen y2 = (-x + e2) > 0 probit y1 x est store a probit y2 x est store b suest a b test [a_y1]x = - [b_y2]x return scalar p_suest = r(p) biprobit y1 y2 = x test [y1]x = -[y2]x return scalar p_biprobit = r(p) end set seed 12345 simulate p_biprobit = r(p_biprobit) /// p_suest = r(p_suest), /// reps(10000) : sim hangroot p_suest, /// dist(uniform) par(0 1) /// susp notheor ci hangroot p_biprobit, /// dist(uniform) par(0 1) /// susp notheor ci *------------------ end example ---------------- (For more on examples I sent to the Statalist see: http://www.maartenbuis.nl/example_faq ) This example requires -hangroot-, which you can download by typing in Stata -ssc install hangroot-. Hope this helps, Maarten -------------------------- Maarten L. Buis Institut fuer Soziologie Universitaet Tuebingen Wilhelmstrasse 36 72074 Tuebingen Germany http://www.maartenbuis.nl -------------------------- * * 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: Suest v/s biprob in stata 11***From:*Prakash Kashwan <pkashwan@umail.iu.edu>

**References**:**Re: st: Suest v/s biprob in stata 11***From:*Prakash Kashwan <pkashwan@umail.iu.edu>

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