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From |
Stas Kolenikov <skolenik@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: use -predictnl- to construct confidence intervals |

Date |
Tue, 31 Aug 2010 16:57:27 -0500 |

-predictnl- is not aware of your interpretation of [whatever complicated nonlinear expression you feed it] as a probability. To get more appropriately bounded, although asymmetric, prediction intervals (technically, those are not confidence intervals, by the way, since you are not talking about a population parameter), you might want to run the prediction on the logit scale, and then manually transform the prediction and the confidence limits. On Tue, Aug 31, 2010 at 4:50 PM, J. Li <lij53@univmail.cis.mcmaster.ca> wrote: > Dear all, > > I am using a random effects ordered probit model to estimate the > transition of health status over time. There are four health states: > poor, fair, good and excellent. After using -reoprob- estimation, I > used -predictnl- to construct 95% intervals of the predicted > probabilities of reporting each health status. I specified the > expression to -predictnl- for reporting the poor health status as > following: > > predictnl prob1= > normprob((_b[_cut1:_cons]/sqrt(1+(_b[rho:_cons]/(1-_b[rho:_cons])))) - > (predict(xb)/sqrt(1+(_b[rho:_cons]/(1-_b[rho:_cons]))))), ci(p1lower > p1upper) > > in which _b[_cut1:_cons] is the estimate of the lowest cut-point > and sqrt(1+(_b[rho:_cons]/(1-_b[rho:_cons]))) is a scale > representing the square root of (1+ σ^2). In Wooldridge 2005 > “SIMPLE SOLUTIONS TO THE INITIAL CONDITIONS PROBLEM IN DYNAMIC, > NONLINEAR PANEL DATA MODELS WITH UNOBSERVED HETEROGENEITY”, it is > suggests that the original parameters should be divided by this scale > to construct the expected probability function in order to calculate > the average partical effects. > > After the prediction, I got two variables for the upper and lower > bounds of the 95% confidence interval for each observation. But > strangely, for some of the observations, the left endpoint is a > negative value. This is supposed to be a predicted probability, so I am > not sure why -predictnl- is generating a negative value here. Did I do > something wrong with the expression in -predictnl- ? Many thanks! > > Daisy > * > * 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/ > -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I use this email account for mailing lists only. * * 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/

**References**:**st: use -predictnl- to construct confidence intervals***From:*"J. Li" <lij53@univmail.cis.mcmaster.ca>

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