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From |
"Clive Nicholas" <[email protected]> |

To |
[email protected] |

Subject |
st: Generating first-differences in regression coefficients |

Date |
Fri, 27 May 2005 22:36:30 +0100 (BST) |

Stata 8.2, Windows 2000 I'm wondering if somebody has for a solution for what must be a basic task. After generating some useful regression models to interpret, I'm looking to automatically generate first-differences in the regression coefficients. Let me be clear as to what I mean here, as there are at least two interpretations of FDs. My desired form of FD is the difference in a coefficient's value at 1 standard deviation below the zero mean and 1 SD above. Now, this can be done using one of my favourite user-written Stata routines - Gary King et al's excellent -clarify- package (downloadable from SSC) - where you can do this: . estsimp reg con0105 turn0105 margin01 ownocc91, sims(5000) genname(b) Source | SS df MS Number of obs = 567 -----------+------------------------------ F( 3, 563) = 10.62 Model | 295.587169 3 98.5290562 Prob > F = 0.0000 Residual | 5223.73578 563 9.27839392 R-squared = 0.0536 -----------+------------------------------ Adj R-squared = 0.0485 Total | 5519.32294 566 9.75145396 Root MSE = 3.046 ---------------------------------------------------------------------------- con0105 | Coef. Std. Err. t P>|t| [95% Conf. Interval] -----------+---------------------------------------------------------------- turn0105 | .0319125 .0542078 0.59 0.556 -.0745618 .1383869 margin01 | -.3979688 .1022995 -3.89 0.000 -.5989041 -.1970335 ownocc91 | .0266134 .0119748 2.22 0.027 .0030927 .050134 _cons | -.0630194 1.064416 -0.06 0.953 -2.153731 2.027692 ---------------------------------------------------------------------------- [...] . setx mean . simqi, fd(ev) changex(turn0105 p15.87 p84.13) First Difference: turn0105 p15.87 p84.13 Quantity of Interest | Mean Std. Err. [95% Conf. Interval] -------------------------+-------------------------------------------------- dE(con0105) | .1366748 .2276696 -.3152429 .5821121 Nice and simple: if you're using -reg- or any of the routines supported by -clarify-. Unfortunately, there are no plans at all to update -clarify- for Stata users to cover other kinds of regression models, such as the ML beta-distributed models I'm currently fitting to my data. Amongst other things, I've tried -findit first differences- and looked at the help files for -predict- and -adjust-, but nothing doing. I've also -bootstrap-ped, thus: . bs "reg con0105 turn0105 margin01 ownocc91" _b _se, size(567) reps(500) saving(clive) dots from which, I could obtain: . sum b_turn0105, detail _b[turn0105] ------------------------------------------------------------- Percentiles Smallest 1% -.1167764 -.1452201 5% -.0725563 -.1339739 10% -.0440525 -.1310334 Obs 500 25% -.004207 -.1268797 Sum of Wgt. 500 50% .0329396 Mean .0361172 Largest Std. Dev. .0642915 75% .082854 .1817445 90% .1196568 .1875912 Variance .0041334 95% .1396888 .1922761 Skewness -.0019643 99% .1790191 .254556 Kurtosis 2.90165 for any coefficient. I tried using -pctile- with this, but it wouldn't let me use the -percentiles()- option: . pctile pct = b_turn0105, nq(4) p(15.87 50 84.13) genp(pc) option p() not allowed r(198); . pctile pct = b_turn0105, nq(4) percentiles(15.87 50 84.13) genp(pc) option percentiles() not allowed r(198); . pctile pct = b_turn0105, percentiles(15.87 50 84.13) genp(pc) option percentiles() not allowed r(198); . pctile pct = b_turn0105, percentiles(15.87 50 84.13) option percentiles() not allowed r(198); If anyone knows of any canned post-estimation solutions for generating FDs in regression coefficients, then I'd be very grateful to you. CLIVE NICHOLAS |t: 0(044)7903 397793 Politics |e: [email protected] Newcastle University |http://www.ncl.ac.uk/geps * * 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/

**Follow-Ups**:**st: Re: Generating first-differences in regression coefficients***From:*"Michael Blasnik" <[email protected]>

**References**:**Re: st: mlbeta, nocons, and mutually-exclusive dummy variables***From:*"Clive Nicholas" <[email protected]>

**RE: st: mlbeta, nocons, and mutually-exclusive dummy variables***From:*"Scott Merryman" <[email protected]>

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