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st: automatically adjusting for bias in antilog transformation?


From   Tatyana Deryugina <tatyanad@mit.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: automatically adjusting for bias in antilog transformation?
Date   Tue, 28 Sep 2010 10:39:15 -0400

Hi everyone,

I'm estimating a model of the following form: ln y = a + bx + cz + e,
which I assume to be normally distributed with heteroskedastic errors.
I would like to compute the average change in Y due to X, e.g.
E[Y|X=x] - E[Y|X=0]. I know that simply computing
exp(a_hat+b_hat*x+c_hat*z) - exp(a_hat+c_hat*z) will result in biased
estimates.

I found how to do the correction for heteroskedasticity in SAS
(http://www2.sas.com/proceedings/forum2008/370-2008.pdf) and I'm
wondering if there's a way to do the corresponding calculation in
Stata without a lot of manual manipulation of the variables (I also
have a lot of fixed effects in the model). If anyone knows a command
that can simplify the calculation, I would be very grateful!

Sincerely,
Tatyana
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