## Stata 15 help for eivreg_postestimation

[R] eivreg postestimation -- Postestimation tools for eivreg

Postestimation commands

The following postestimation commands are available after eivreg:

Command Description ------------------------------------------------------------------------- contrast contrasts and ANOVA-style joint tests of estimates estat summarize summary statistics for the estimation sample estat vce variance-covariance matrix of the estimators (VCE) estimates cataloging estimation results forecast dynamic forecasts and simulations lincom point estimates, standard errors, testing, and inference for linear combinations of coefficients linktest link test for model specification margins marginal means, predictive margins, marginal effects, and average marginal effects marginsplot graph the results from margins (profile plots, interaction plots, etc.) nlcom point estimates, standard errors, testing, and inference for nonlinear combinations of coefficients predict predictions, residuals, influence statistics, and other diagnostic measures predictnl point estimates, standard errors, testing, and inference for generalized predictions pwcompare pairwise comparisons of estimates test Wald tests of simple and composite linear hypotheses testnl Wald tests of nonlinear hypotheses -------------------------------------------------------------------------

Syntax for predict

predict [type] newvar [if] [in] [, statistic]

statistic Description ------------------------------------------------------------------------- Main xb linear prediction; the default residuals residuals stdp standard error of the prediction stdf standard error of the forecast pr(a,b) Pr(a < y < b) e(a,b) E(y | a < y < b) ystar(a,b) E(y*), y* = max{a,min(y,b)} ------------------------------------------------------------------------- These statistics are available both in and out of sample; type predict ... if e(sample) ... if wanted only for the estimation sample. where a and b may be numbers or variables; a missing (a > .) means minus infinity, and b missing (b > .) means plus infinity; see missing.

Statistics > Postestimation

Description for predict

predict creates a new variable containing predictions such as linear predictions, residuals, standard errors, probabilities, and expected values.

Options for predict

+------+ ----+ Main +-------------------------------------------------------------

xb, the default, calculates the linear prediction.

residuals calculates the residuals, that is, y - xb.

stdp calculates the standard error of the prediction, which can be thought of as the standard error of the predicted expected value or mean for the observation's covariate pattern. The standard error of the prediction is also referred to as the standard error of the fitted value.

stdf calculates the standard error of the forecast, which is the standard error of the point prediction for 1 observation and is commonly referred to as the standard error of the future or forecast value. By construction, the standard errors produced by stdf are always larger than those produced by stdp; see Methods and formulas in [R] regress.

pr(a,b) calculates Pr(a < xb + u < b), the probability that y|x would be observed in the interval (a,b).

a and b may be specified as numbers or variable names; lb and ub are variable names; pr(20,30) calculates Pr(20 < xb + u < 30); pr(lb,ub) calculates Pr(lb < xb + u < ub); and pr(20,ub) calculates Pr(20 < xb + u < ub).

a missing (a > .) means minus infinity; pr(.,30) calculates Pr(-infinity < xb + u < 30); pr(lb,30) calculates Pr(-infinity < xb + u < 30) in observations for which lb > . and calculates Pr(lb < xb + u < 30) elsewhere.

b missing (b > .) means plus infinity; pr(20,.) calculates Pr(+infinity > xb + u > 20); pr(20,ub) calculates Pr(+infinity > xb + u > 20) in observations for which ub > . and calculates Pr(20 < xb + u < ub) elsewhere.

e(a,b) calculates E(xb + u | a < xb + u < b), the expected value of y|x conditional on y|x being in the interval (a,b), meaning that y|x is truncated. a and b are specified as they are for pr().

ystar(a,b) calculates E(y*), where y* = a if xb + u < a, y* = b if xb + u > b, and y* = xb + u otherwise, meaning that y* is censored. a and b are specified as they are for pr().

Syntax for margins

margins [marginlist] [, options]

margins [marginlist] , predict(statistic ...) [predict(statistic ...) ...] [options]

statistic Description ------------------------------------------------------------------------- xb linear prediction; the default pr(a,b) Pr(a < y < b) e(a,b) E(y | a < y < b) ystar(a,b) E(y*), y* = max{a,min(y,b)} stdp not allowed with margins stdf not allowed with margins residuals not allowed with margins -------------------------------------------------------------------------

Statistics not allowed with margins are functions of stochastic quantities other than e(b).

For the full syntax, see [R] margins.

Statistics > Postestimation

Description for margins

margins estimates margins of response for linear predictions, probabilities, and expected values.

Examples

Setup . sysuse auto

Fit regression in which weight and mpg are measured with reliabilities .85 and .9 . eivreg price weight foreign mpg, r(weight .85 mpg .9)

Calculate fitted values for estimation sample only . predict prhat if e(sample)

Calculate standard errors of fitted values . predict stderr if e(sample), stdp