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From |
Steve Samuels <sjsamuels@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: nl hockey estimation |

Date |
Fri, 10 Aug 2012 10:42:42 -0400 |

Nick, I think you meant: gen y2 = cond(x <50, y, 100 - y) Steve sjsamuels@gmail.com On Aug 9, 2012, at 9:09 PM, Nick Cox wrote: The word "clearly" here is questionable. Your test data show a big discontinuity; they aren't a segmented line which is what the model is looking for. The least squares criterion is being used and -nl- does the best it can to minimise the sum of _squared_ errors. The built-in aversion to very large errors is what is biting here. If you work instead with gen y2 = cond(x < 50, y, y - 100) nl hockey y2 x you will get what you expect. On this evidence the program is fine, but your test example won't work as you expect under LS. At a wild guess, L1-norm might give something nearer splitting the difference. Nick On Fri, Aug 10, 2012 at 12:34 AM, Jordan Silberman <silberman.stata@gmail.com> wrote: > I'm attempting to identify a breakpoint in a regression using the -nl > hockey- command (described here: > http://personalpages.manchester.ac.uk/staff/mark.lunt/nlhockey.hlp). > > When I test this command using simple simulated data, I find that the > command doesn't identify the correct breakpoint. Here's an example: > > set obs 100 > gen x = _n > gen y = x if x < 50 > replace y = x*3 if x > 49 > nl hockey y x > > The breakpoint should clearly be at 50; however, command output > identifies the breakpoint at 32.7. > > So, 2 questions: > > 1. Why might the -nl hockey- command be computing the wrong breakpoint? > > 2. Can anyone recommend an alternate approach to identifying the > breakpoint in a 2-piece regression? Best would be something that's > been implemented in Stata in a straightforward way. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: nl hockey estimation***From:*Nick Cox <njcoxstata@gmail.com>

**References**:**st: nl hockey estimation***From:*Jordan Silberman <silberman.stata@gmail.com>

**Re: st: nl hockey estimation***From:*Nick Cox <njcoxstata@gmail.com>

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