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


From   Jeph Herrin <stata@spandrel.net>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Scoring a Fixed Effects Model on another dataset
Date   Wed, 12 Jun 2013 16:32:31 -0400

In this case, I think you can do it, but you want to have your two samples in the same dataset, with a flag to indicate which is which. Then once you get the fixed effects estimates for the test sample, carry them to the validation sample:

 u TEST_SAMPLE
 gen byte test=1
 append using VALIDATION_SAMPLE
 replace test=test==1

 xtset PROVIDER
 xtreg {independent variables} if test, fe
 predict score , xb
 predict feffects, u
 bys PROVIDER (feffects) : replace feffects=feffects[1]
 replace score=score+feffects

hth,
Jeph



On 6/12/2013 4:09 PM, William Sankey 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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