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Re: st: Poisson residuals


From   Fabien Bertho <fabien.bertho@sciences-po.org>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Poisson residuals
Date   Thu, 24 Nov 2011 17:05:24 +0100 (CET)

Yes, very helpful.
Thanks a lot!


> ----------------------------------------
> From: Maarten Buis <maartenlbuis@gmail.com>
> Sent: Thu Nov 24 10:33:33 CET 2011
> To: <statalist@hsphsun2.harvard.edu>
> Subject: Re: st: Poisson residuals
> 
> 
> On Thu, Nov 24, 2011 at 10:01 AM, Fabien Bertho wrote:
> > I am trying to compute residuals after Poisson regressions.
> >
> > First, I used the following code:
> >
> > predict yhat
> > gen poisson_residual= y - yhat
> >
> > Then, I tried the Stata command
> >
> > predict poisson_residual_stdp, stdp
> >
> > Finally, I tried this one
> >
> > predict poisson_residual_score, score
> >
> >
> > The first code gives exactly the same values as the third one. And I don't understand the difference with the second computation.
> >
> > Please, what is the difference between both and and which is the right value?
> 
> With the -stdp- option you'll get the standard error of the linear
> prediction, with the -score- option you'll get the first derivative of
> the log likelihood with respect to xb, which is just by accident the
> same as the raw residuals you computed in your first example. Your
> first example just gives you the raw residuals, which are often not
> very useful in non-linear models like -poisson-.So none of your
> computations will give you the "right" numbers, it is even hard to
> define what "right" is in this type of model. There is a whole cottage
> industry inventing different types of residuals that are more or less
> useful in such models. A fair set of those can be obtained by
> estimating your -poisson- model using -glm- with the -family(poisson)
> link(log)- options. You can see the different types of residuals and
> their description by typing -help glm_postestimation-. There is also a
> nice discussion in chapter 4 of
> <http://www.stata.com/bookstore/glmext.html>.
> 
> Hope this helps,
> Maarten
> 
> --------------------------
> Maarten L. Buis
> Institut fuer Soziologie
> Universitaet Tuebingen
> Wilhelmstrasse 36
> 72074 Tuebingen
> Germany
> 
> 
> http://www.maartenbuis.nl
> --------------------------
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