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st: Re: obtaining confidence intervals after mfx compute

From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: Re: obtaining confidence intervals after mfx compute
Date   Sat, 28 Aug 2004 22:17:18 -0400

Jose said

Does anyone know how to obtain confidence intervals for the estimated Y
variable after the mfx compute command? Let's say you have an estimate of
your dependent variable, which is what (mfx compute) computing mean marginal
effects does. A very important issue in using regression estimates is the
ability to forecast the confidence interval of this dependent variable. As
far as I can tell, mfx compute gives you a confidence interval for the X
variables, but I need a measure of confidence for the predicted Y variable.

-whelp regress- indicates that after a regression, you may use -predict- to calculate either the standard error of prediction (stdp) or standard error of forecast (stdf). As any econometrics text (or the Stata manual) will demonstrate, these quantities may be used to generate an appropriate confidence interval for E[y | x] or
E[y_0 | x_0].

mfx is a very useful tool, but confidence intervals for prediction from a regression is not what it is for.


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