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RE: st: Predict in version 11


From   Nick Cox <n.j.cox@durham.ac.uk>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Predict in version 11
Date   Wed, 8 Dec 2010 12:36:19 +0000

The solution appears to be just a twist away from that already given. 

... if testset == 1

Otherwise put, -predict- allows -if- (and -in-), so just specify whatever restrictions you want. 

Nick 
n.j.cox@durham.ac.uk 

Marnix Zoutenbier

Neil his reaction is correct. However, it shows that I did not formulate my
problem accurate, because it is not the solution that works for me.

Let me extend the example with one extra observation to make myself more
clear
x1	testset 	y
1	1	12
2	1	13
3	1	14
4	2	.
3	2	.

So the last observation is defined by x1 in the same way as the third
observation. The testset (testset==2) consists of 2 observations, from
which the observation with x1=3 can be predicted based on the traininset
(testset==1) but the observation with x1=4 can not be predicted because
x1=4 is not in the trainingset.

First in version 11
version 11
anova y x1 if testset==1
predict yhat

Gives the following result in version 11
x1	testset 	y	yhat
1	1	12	12
2	1	13	13
3	1	14	14
4	2	.	12
3	2	.	14

Now in version 10
version 10
anova y x1 if testset==1
predict yhat

Gives the following result
x1	testset 	y	yhat
1	1	12	12
2	1	13	13
3	1	14	14
4	2	.	.
3	2	.	14

This problem is not fixed with the 'e(sample)' suggestion, because I do
want to predict in the testset (outside e(sample)), however, I only want
predictions for values of x1 that are used in the trainingset (testset==1).

From:	Neil Shephard <nshephard@gmail.com>

On Wed, Dec 8, 2010 at 9:58 AM, Marnix Zoutenbier

> I see a difference in the way predict works between Stata10 and 11.
>
> Consider the following example
> x1      testset         y
> 1       1       12
> 2       1       13
> 3       1       14
> 4       2       .
>
> And the commands
> anova y x1 if testset==1
> predict yhat
>
> The following is the result in version 11
> x1      testset         y       yhat
> 1       1       12      12
> 2       1       13      13
> 3       1       14      14
> 4       2       .       12
>
> While in version 10 the following dataset results
> x1      testset         y       yhat
> 1       1       12      12
> 2       1       13      13
> 3       1       14      14
> 4       2       .       .
>
> I prefer the version 10 way-of-working, because it gives me the
opportunity
> to identify observations that are in the testset (testset==2) and not in
> the trainingset (testset==1).
>
> Is it possible to obtain the same result in version 11 as in version 10,
> other than switching with the version command before and after predict?


Yes, see the -man predict- page
(http://www.stata.com/help.cgi?predict), items 6 and 7 in the
Description section near the top...

    predict can be used to make in-sample or out-of-sample predictions:

        6.  predict calculates the requested statistic for all
possible observations, whether they were used in fitting the model or
not.  predict does this for the standard options 1 through 3 and
            generally does this for estimator-specific options 4.

        7.  predict newvar if e(sample), ...  restricts the prediction
to the estimation subsample.


So in your above example under Stata 11 you should use...

predict yhat if(e(sample))

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