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st: simulating data from a linear probability model

From   Alexander Tsai <[email protected]>
To   [email protected]
Subject   st: simulating data from a linear probability model
Date   Tue, 28 Oct 2003 11:41:20 -0500

Dear Statalisters,

I would like to simulate data for a linear probability model with
response variable y, regressor(s) x, and known coefficients a and b.

If I wanted to simulate data from a logistic model, I could follow the
procedure suggested helpfully by Al Feiveson on this listserv (Nov

	generate z = a + b*x
	generate p = exp(z)/(1+exp(z))
	generate y = uniform()<=p

But I'm stumped as to how to go about simulating data from a LPM. I
can't simply draw a random error term to generate the response variable
y because of the heteroskedasticity problem. For efficient estimation of
the LPM, Goldberger suggests a weighted least squares procedure that
involves (1) estimating by OLS, (2) computing yhat(1-yhat), (3) using
weighted least squares with the weights w=sqrt(yhat(1-yhat)], and (4)
regressing y/x and x/w.

Have any other Statalisters encountered this problem before?

Many thanks,

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