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From |
"FEIVESON, ALAN H. (AL) (JSC-SK) (NASA)" <[email protected]> |

To |
"'[email protected]'" <[email protected]> |

Subject |
st: correction: estimating the average slope and its standard error in anon-parametric regression |

Date |
Wed, 22 Dec 2004 13:05:07 -0600 |

oops! - I just realized the standard error I gave would be for using the data points, not the estimated function at the endpoints. So the standard error variance should more properly be Var(f_hat(b)-f_hat(a))/(b-a)^2 where f_hat( ) is the fitted function. The numerator is Var(f_hat(b)+Var(f_hat(a))-2*cov(f_hat(b), f_hat(a)) I see where using predict with the stdp option would give you the two variances, but I'm not sure how to get the covariance. Or if you can write out an explicit expression for f_hat(b) and f_hat(a), you could use lincom or nlcom to get its standard error. Al Feiveson -----Original Message----- From: [email protected] [mailto:[email protected]]On Behalf Of FEIVESON, ALAN H. (AL) (JSC-SK) (NASA) Sent: Wednesday, December 22, 2004 12:55 PM To: '[email protected]' Subject: st: RE: estimating the average slope and its standard error in anon-parametric regression The average slope of any continuous function f on an interval (a, b) is (f(b)-f(a))/(b-a) Its standard error would then be 2*Var(e)/(b-a)^2 Al Feiveson -----Original Message----- From: [email protected] [mailto:[email protected]]On Behalf Of Marco Leonardi Sent: Wednesday, December 22, 2004 3:47 AM To: [email protected] Subject: st: estimating the average slope and its standard error in anon-parametric regression Greetings, I estimate a non parametric regression of the form y=g(x)+e using the STATA command kernreg. I am interested in the "slope" of the regression line g'(x), that is the marginal effect on the conditional expectation g(x)=E(y|x) of a change in x. Obviously the slope changes over the range of x. Is there a simple way to estimate the average slope d=E[g'(x)] and its standard error? Many thanks Marco Leonardi Dipartimento Studi del Lavoro Universit� degli Studi di Milano Via Conservatorio 7 20122 Milano tel: +39 02 50321162 * * 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/ * * 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/ * * 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/

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