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re: st: changing estimated parameters for new prediction


From   Christopher Baum <kit.baum@bc.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   re: st: changing estimated parameters for new prediction
Date   Sun, 31 Oct 2010 20:39:59 -0400

<>	
Mike said

How do I take old coefficients from the first run, apply those to the
data after setting one of the coefficients equal to zero, and
reestimate the model to obtain a new y_hat?

The steps I believe I need to take are something like this:

1) logit dep_var ind_var1 ind_var2 ind_var3
2) predict dep_var_hat
3) (a line here to set the ind_var3 coefficient to zero)?
4) (a line here to run the data through the new parameters, the only
change being the ind_var3 parameter set to zero)?
5) predict dep_var_hat2

Please let me know if you know how to do steps 3 and 4 or if there is
an altogether easier way to do this.


It is not clear what you are trying to do. When you say 'reestimate the model to obtain a new y_hat", it suggests
that step 3 and 4 can be achieved by doing
 logit dep_var ind_var1 ind_var2
That is, just take ind_var3 out of the model and reestimate, and generate predictions.

But if you mean you want the predicted value with the term involving ind_var3 knocked out, given that you're working with a logit,

2a) predict double xb, xb
       generate double xbadj = xb - _b[ind_var3]*ind_var3
4)   generate double altpred = exp(xbadj) / (1 + exp(xbadj))

and altpred will be your adjusted series of predicted values.

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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