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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.

Kit

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**Follow-Ups**:**st: RE: Re: obtaining confidence intervals after mfx compute***From:*"Jose A. Aleman" <[email protected]>

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