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st: RE: How to avoid negative fitted values

From   "Craig, Benjamin M." <>
To   <>
Subject   st: RE: How to avoid negative fitted values
Date   Fri, 20 Aug 2010 23:18:09 -0400

There are two ways that make sense to me, but their use depends on your theory.
1. glm with a log link will produce positive estimates (see work of manning and mullahy)
2. Inequality constraints on the parameter space (much more difficult)
It sound like you are using a linear model on skewed data, and you are overshooting the skew by assuming a symmetric distribution. Maybe if you assume a gamma distribution (see Basu) your predictions will get better. Again this is all dependent on your theory about the origin of the error. I am not in real estate, sorry.
Benjamin M. Craig, Ph.D. Assistant Member, Health Outcomes & Behavior Moffitt Cancer Center Associate Professor, Department of Economics University of South Florida Contact Information 12902 Magnolia Drive, MRC-CANCONT Tampa, FL 33612-9416 Phone: (813) 745-6710 Fax: (813) 745-6525


From: on behalf of Laurie Molina
Sent: Fri 8/20/2010 10:26 PM
Subject: st: How to avoid negative fitted values

Dear statalist,

I am triying to imput rental prices for houses to a sample using some
characteristics of the construction which are shared between my data
and the data in another database in which rental prices are declared.

When i use OLS i get negative fitted values both in the original
database as in my database.

How can ensure that the predicted values will be non negative?

Thank you very much in advance.

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