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Re: st: Manual calculation of scale factors after tobit and/or truncreg [econometrics help]


From   Clara Mukuria <C.Mukuria@sheffield.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Manual calculation of scale factors after tobit and/or truncreg [econometrics help]
Date   Fri, 12 Oct 2012 11:36:16 +0100

Thanks Marteen. Its not the SE of the estimate I am after. Rather, its how to adjust the linear predictions from Tobit/truncreg to the expexted values conditional on either censoring (for Tobit) or truncation (for Truncreg). STATA does this automatically for you but I need to work out how to do it manually as the out of sample estimation will not be done in STATA - nor will those doing these estimations have access to the original dataset.

Thanks,
Clara

Maarten Buis said the following on 12/10/2012 08:11:
On Thu, Oct 11, 2012 at 8:34 PM, Clara Mukuria wrote:
Hi,

I am trying to work out how to calculate the scale factor used to adjust
results after a tobit and/or a truncreg regression.

I assume you mean what in "normal" linear regression would be the
standard deviation of the residual/root mean squared error/standard
error of the estimate. This parameter is returned in the vector of
parameters e(b). One way you can access it is through
[sigma]_b[_cons], for example -display [sigma]_b[_cons]-.

I know there are several post estimation options, I am using the 'predict y,
ystar(ll, ul)' option to assess how well the the model predicts. However,
the aim is to provide generate a mapping function that can be used in other
datasets to predict the single generic measure so I need to work out the
scale factor.

You can just estimate your model in one dataset, open another dataset
and than use -predict-. You need to make sure that the
independent/explanatory/right-hand-side/x variables in both datasets
have the same name (how else would Stata know which parameter to apply
to which variable?), but otherwise there are no restrictions.

Hope this helps,
Maarten

---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany

http://www.maartenbuis.nl
---------------------------------
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Clara Mukuria PhD
ScHARR
University of Sheffield
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Email:	   c.mukuria@sheffield.ac.uk

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