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Re: st: Scoring a Fixed Effects Model on another dataset


From   William Buchanan <william@williambuchanan.net>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Scoring a Fixed Effects Model on another dataset
Date   Wed, 12 Jun 2013 15:22:21 -0500

If the data are from the same subjects (e.g., providers), what is the difference between the measurements?  Are you trying to compare the coefficients across two measurement periods?  It might be helpful to explain a bit more about your data/goals.

HTH,
Billy

Sent from my iPhone

On Jun 12, 2013, at 15:09, William Sankey <wsankey@gmail.com> wrote:

> Right, I would only add that the "people" (here, Providers) in one
> sample are the same people in the second sample (aka, the same
> Providers). So hopefully this should be possible...I would agree that
> it probably would not be the case if the sample had different people.
> That would probably be more similar to a propensity score analysis?
> 
> Thanks,
> Will
> 
> On Wed, Jun 12, 2013 at 3:53 PM, Lucas <lucaselastic@gmail.com> wrote:
>> This is an interesting question.  I always thought that fixed effects
>> models give you very good causal effect estimates, but technically the
>> estimates do not apply beyond the sample.
>> 
>> Think about it like this: the fixed, subject-specific terms (call them
>> b_0i) capture the effects of all unmeasured aspects of the person.  If
>> so, if you use the coefficients b_1 to b_k estimated using Sample 1 on
>> non-estimation Sample 2, you'll obtain predicted values based on those
>> coefficients, but your predicted values will not include the
>> subject-specific effects (i.e., no b_0i estimates) because those were
>> obtained only for each unique person in the estimation sample.
>> 
>> Perhaps there is some way to do what you desire of which I am unaware
>> and, if so, I'd love to learn it.  But, my current knowledge indicates
>> what you want to do is not really appropriate for the fixed effects
>> model.
>> 
>> Sam
>> 
>> On Wed, Jun 12, 2013 at 12:31 PM, William Sankey <wsankey@gmail.com> wrote:
>>> Hi Statalist,
>>> 
>>> I have two samples of the same data, my TEST_SAMPLE and
>>> VALIDATION_SAMPLE. I want to run a fixed effects model on my
>>> TEST_SAMPLE and collect the parameter estimates and apply them to the
>>> VALIDATION_SAMPLE. I believe I want to use the predict score command.
>>> After applying these coefficients to the VALIDATION_SAMPLE we want to
>>> compute the predicted value of my dependent variable as to compute the
>>> error.
>>> 
>>> So far I believe I am on the right track with the following code:
>>> 
>>> use TEST_SAMPLE
>>> xtset PROVIDER
>>> xtreg MARGIN {independent variables}, fe
>>> 
>>> use VALIDATION_SAMPLE
>>> predict score
>>> 
>>> At this point I'm not sure how to retrieve predicted values of the
>>> dependent variable to compute error. Also, if others have experience
>>> with this kind of procedure and used a different method they would
>>> recommend, I would appreciate it.
>>> 
>>> Any insight would be greatly appreciated.
>>> 
>>> Best,
>>> Will
>>> --
>>> William J. Sankey
>>> Johns Hopkins University
>>> MA Public Policy '12
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> 
> 
> 
> -- 
> William J. Sankey
> Johns Hopkins University
> MA Public Policy '12
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