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

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: boostrapping from a log regression |

Date |
Thu, 2 Sep 2010 11:09:24 +0000 (GMT) |

--- On Thu, 2/9/10, as669@york.ac.uk wrote: > Its the actual Beta Coefficient im having difficulty > trying to obtain in natural units not the predicted > values of the dependent variables (y). That is exactly the same issue, so you should use -glm- > I had understood from a colleague that it is possible > to obtain this by bootstrap. There are a variety of ways to "fix" the problems you get when you log transform your dependent variable, but why try to fix something when you can prevent it? > I have actually tried a number of models including GLM > models, but the AIC on the log transformed model is so > much lower that i`d prefer to use it if it is at all > possible. That difference is artificial, and just due to the difference in scaling of your dependent variable (which happens to be the very problem you try to solve...). *IC measures can help in comparing some non-nested models, but that does not mean you can use them to compare all models with one another. > Failing that, does anyone know if i would need to perform > any similar transofrmations on beta coeficients from a GLM > -Gamma- link(identity)-, or -Gamma- -link(log). You should not use the -link(identity)- option here, than you just get a variation on linear regression (key difference is that the residual variance changes as the mean changes). The key option for your application is the -link(log)- option. Consider the example below: *--------- begin example ---------- sysuse auto, clear sum mpg, meanonly gen c_mpg = mpg - r(mean) gen byte baseline = 1 glm price c_mpg foreign baseline, /// link(log) family(gamma) /// eform nocons *---------- end example ----------- (For more on examples I sent to the Statalist see: http://www.maartenbuis.nl/example_faq ) The coefficient of baseline is the constant, i.e. the price (in dollars) when both foreign and c_mpg are zero. c_mpg is 0 when mpg is average, and foreign has the value 0 when the car is domestic. So a domestic car with average mpg costs about $5529,-. This price changes by a factor 1.30 (i.e. 30%) when the car is foreign, and changes by a factor 0.96 (i.e. -4%) for every extra mile per gallon. 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/

**References**:**Re: st: boostrapping from a log regression***From:*as669@york.ac.uk

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