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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 |

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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/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/faqs/resources/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/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Scoring a Fixed Effects Model on another dataset***From:*William Sankey <wsankey@gmail.com>

**Re: st: Scoring a Fixed Effects Model on another dataset***From:*Lucas <lucaselastic@gmail.com>

**Re: st: Scoring a Fixed Effects Model on another dataset***From:*William Sankey <wsankey@gmail.com>

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