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st: RE: weighting prior to creating cook's distance stats for reg


From   Nick Cox <n.j.cox@durham.ac.uk>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: weighting prior to creating cook's distance stats for reg
Date   Tue, 14 Dec 2010 18:04:51 +0000

Some experimentation suggests that Cook's [sic] distance is not available with any kind of weights other than fweights. 

I agree that the error message you got is puzzling. 

It seems that you would need to define your own version of Cook's distance with pweights (I've no idea how much sense that makes) and your own guidelines on how to interpret the results -- unless of course you can cite literature on this. 

Program writers have various stopping rules, including 

1. Product must ship soon. 

2. No idea if that is defined theoretically. 

3. Not clear if that is more help than hindrance. 

But I can't speak for which of these, or of others, was at work here. 

Thanks in advance for not using the formulaic "Thanks, in advance". 

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

Ben Hoen

I am estimating a weighted regression (using the weights generated from a
coarsened exact matching (cem) procedure (see
http://gking.harvard.edu/cem/)).

.reg lasp ee sqft acre age i.nbrhd [pweight=cem_weight]

where:
lasp = log of sale price
ee = if home has energy efficiency features
sqft = square feet of the home
acre = acres of the parcel
age = age of the home at sale
nbrhd = the neighborhood in which the home resides

An important post-estimation stat I would like to create is cook's distance
(cdis).

I am receiving the following errors when I try to estimate them:  

. predict cdis if e(sample), cooksd 
option cooksd not allowed after robust estimation
r(198);

I am not using the vce(r) option and therefore cannot understand the reason
for the error.  More importantly, is there a way to produce cook's distance
stats after the weighted regression I estimated?

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