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Re: st: xtnbreg - robusteness check and model relevance


From   "JVerkuilen (Gmail)" <[email protected]>
To   [email protected]
Subject   Re: st: xtnbreg - robusteness check and model relevance
Date   Wed, 16 Jan 2013 12:40:42 -0500

What I was thinking of doing was generating predicted counts with the
relevant confidence intervals and checking the actual counts against
those.

If you can generate meaningful profiles of the X variables that would
help. Then you could compare the empirical distribution within those
groups to the predicted values.



On Tue, Jan 15, 2013 at 7:15 AM, Simon Falck <[email protected]> wrote:
> Dear Jay,
>
> Many thanks for your swift reply, and sorry for my delayed thanks and fuzzy description of the problem.
>
> Yes, goodness of fit is the correct description.
>
> In terms of evaluating model relevance, your suggestion of making a graphical test is also what I had in mind. However, I am not sure what is the correct approach to derive predicted number of events after -xtnbreg-?
>
> The convenient -prcounts- command do not work after -xtnbreg-, only standard count models.
>
> The instruction for -xtnbreg- postestimation is using -predict-, but it seems that it is not possible to apply -predict [name], rate- to derive predicted number of events in a fixed effect model. Nevertheless, it is possible to derive predicted number of events; assuming fixed effect is zero, using -predict name, nu0-, but I am not sure if this is the correct approach.
>
> A less preferred solution would be to not to run the empirical model in a panel, but as a standard negative binomial regression model using -nbreg-, and then leaving out the fixed effect which may bias the results.
>
> Any suggestions on what is the correct approach in this situation?
>
> Thanks in advance,
> /Simon
>
>
>
>
>
> -----Original Message-----
> From: [email protected] [mailto:[email protected]] On Behalf Of JVerkuilen (Gmail)
> Sent: den 10 januari 2013 15:30
> To: [email protected]
> Subject: Re: st: xtnbreg - robusteness check and model relevance
>
> On Thu, Jan 10, 2013 at 5:34 AM, Simon Falck <[email protected]> wrote:
>> Dear Statalist,
>>
>>
>> The relevance or precision of a count model seems often to be
>> described in terms of how close the predicted values are to the
>> observed values, usually by comparing the distribution of
>> probabilities of observed and predicted counts. However, from what I
>> understand, it is not possible to use the command -prcounts- after
>> -xtnbreg-, which is used after -nbreg- to derive predicted values. Any
>> suggestions on what is a reasonable strategy in this case?>
>
> I'm not sure what you mean by "robustness test" exactly, but I'll assume you mean goodness of fit test.
> More to the point that approach doesn't actually inform you much about the difference between NB and Poisson, because NB and Poisson will tend to make very similar point predictions. Where they will differ is in terms of the level of uncertainty in the model. In general NB will have wider confidence intervals than Poisson, sometimes much wider.
>
> So a reasonable graphical test would be to generate predicted values for important cases and see how often they line up with the corresponding observed value. There are issues with this approach that I can think of but it's a start.
>
> Jay
>
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-- 
JVVerkuilen, PhD
[email protected]

http://lesswrong.com/

"Everybody loves progress but nobody likes change." ---Fortune cookie, 1/13/13.

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