[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
"Nick Cox" <n.j.cox@durham.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: Goodness of fit of -intreg depvar1 depvar2 indepvars, het(subset_of_indepvars) robust- |

Date |
Mon, 12 Apr 2004 18:21:27 +0100 |

I am probably missing something here, but why not use predict pred if e(sample) and then calculate its variance directly? Nick n.j.cox@durham.ac.uk Renzo Comolli > > I would like to have measures of goodness of fit for > intreg depvar1 depvar2 indepvars, het(subset_of_indepvars) robust > constraints(1) > > The measure I would really like is variance of predicted y, > but I would > settle for other measures too. > > I can't use -fitstat- because it was written for the Stata 7 > version of > -intreg-. > I hacked the code of -fitstat- enough to make it work for > Stata 8 version of > -intereg-, but it does not work if I specify the option -, > het()- and I > don't understand the code enough to hack it further. > (I wrote to Mr. Long months ago, so that is not an option) > > I post here my hacked version of the code to compute variance > of predicted > y, but fails (as said) if the -, het()- option is specified. > > capture program drop vystar > program define vystar, rclass > version 6.0 > > tempname n_obs n_parm b v_ystar v v_y v_x v_e factor bnocon > > mat `b' = get(_b) > local depv `e(depvar)' > > *-> get information from last model estimated > mat `v_e' = J(1,1,1) > sca `n_obs' = e(N) > > *-> compute numbers of variables and parameters > sca `n_parm' = colsof(`b') > local n_rhs = `n_parm' - 2 /* for var(e) */ > > local varlist : colnames(`b') > parse "`varlist'", parse (" ") > > * 2/11/00 > * to deal with rhsnam gt 80 characters, can't use string functions > local rhsnam "" > local i 1 > while "``i''"!= "" { > if "``i''"!="_cons" & "``i''"!="_se" { local > rhsnam "`rhsnam' > ``i''" } > local i = `i' + 1 > } > > *-> compute Var(y*) using cov_x > > scalar `factor' = 1/(`n_obs'-1) > quietly mat accum `v_x' = `depv' `rhsnam' if > e(sample), deviations > noconstant > scalar `v_y' = `factor' * `v_x'[1,1] /* sum y/(n-1) */ > mat `v_x' = `factor' * `v_x'[2...,2...] /* cov > matrix of rhs vars > */ > mat `v_x' = `v_x'[2...,2...] > mat `bnocon' = `b'[1,1..`n_rhs'] /* trim off _con */ > mat `v' = `bnocon' * `v_x' * `bnocon'' > mat `v_e'[1,1] = e(sigma)*e(sigma) > mat `v' = `v' + `v_e' > scalar `v_ystar' = `v'[1,1] > display "Variance of Fitted y* :" " " `v_ystar' > return scalar v_ystar = `v_ystar' > > end * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

- Prev by Date:
**st: Re: statsby and xtreg** - Next by Date:
**st: please unsubscribe me from the list** - Previous by thread:
**st: RE: small problem with return macro** - Next by thread:
**st: RE: How to refer to scalars with a wildcard** - Index(es):

© Copyright 1996–2024 StataCorp LLC | Terms of use | Privacy | Contact us | What's new | Site index |