Vince,
Thank you for the detailed explanation and suggestions, as well as the
warning. As Richard and Scott guessed, I was interested in doing a
thought experiment to see how changing the values of coefficients would
change predicted values. Wouldn't have paid attention to CIs or
standard errors for the reasons you list, but it's good to have those
reasons enumerated.
Cheers,
Kirsten
On Fri, 22 Jul 2005, Vince Wiggins, StataCorp wrote:
Kirsten Smith <[email protected]> wants to modify one of the coefficients
after a -logit- estimation and then pretend that the estimates are still from
-logit-, retaining access to all of the postestimation facilities after
-logit-. She offers the following program to perform the deed, but notes that
the statement -ereturn repost- fails.
---------------------------------- BEGIN --- foo.ado --- CUT HERE -------
program foo, eclass
tempname bmat
matrix `bmat' = e(b)
matrix `bmat'[1,1] = 122
ereturn repost b = `bmat'
end
---------------------------------- END --- foo.ado --- CUT HERE -------
Let me answer in pieces.
An admonishment
---------------
Don't do this!
The coefficients produced by an estimator are one of the primary things that
defines the estimator. All of the postestimation facilities, such as
-predict- and -lroc- after -logit-, assume that the coefficients were
estimated correctly using a method appropriate for the estimator. Rarely can
you change the coefficient of an estimator and retain any meaning from the
postestimation results.
When modifying the saved results from an estimator while letting the estimates
continue to masquerade as though they were from the original estimator, it is
easy to create nonsense results and to fool anyone using the estimated
results. As a simple example, if you change the coefficients without changing
the covariance matrix, how do you interpret the standard errors, tests, and
confidence intervals in the estimation results table. This is dangerous
territory.
We are so sincere in this warning that we require you to write a program when
you want to use any of the -ereturn- subcommands that post or modify
estimation results. In fact, we require that you declare that you know what
you are doing in creating an estimator and assume the risks involved by adding
an -eclass- option to the -program- statement.
Having said that, I have done this a few times myself and I am sure that
Kirsten is only showing us an example of what she wants and has throughly
considered the ramifications of changing the coefficients while still
pretending to be a -logit- estimation.
Technicalities
--------------
As discussed by Scott Merryman <[email protected]> and Richard Williams
<[email protected]>, -ereturn repost- seems to work after most
estimators, but not after others, including -mlogit- and -logit-, to which I
would add -stcox- and a few others. These estimators require internal
structures to track additional estimation information and do not use -ereturn
post- to save their results. As noted in the help for -ereturn repost-,
"-ereturn repost- changes the b or V matrix (allowed only after
estimation commands that posted their results using -ereturn post-)."
If you want to -repost- one of these estimators, you must effectively create a
new estimator by picking up and posting all of the saved results that you
want, as suggested by Scott Merryman <[email protected]>. You may even need
to write an appropriate -predict- command because you will no longer have
access to the internal structures created by the command.
Some tricks
-----------
So, what is Kristen to do with -logit-? She does not, for example, have
access to the internal structures that allow rules to work in -predict-.
If she does not need predictions, she can proceed as Scott Merryman
<[email protected]> has suggested, and simply post those things from -logit-
she needs, effectively creating a new estimator.
If predictions and most other postestimation facilities are what is important,
then she can take advantage of the fact that we already had to address these
issues for -logit- and -mlogit- when we created survey estimators for the
commands. If Kirsten will survey set her data as a simple random sample,
. svyset _n
She can use the survey estimator for the logit model,
. svy: logit ...
Afterward, -foo- will work, because the survey logit estimator does use
-ereturn post- to save its estimation results. Note, that -svy: logit- uses
the sandwich/linearization estimate of variance.
If Kirsten needs both predictions and the same variance estimator as -logit-
then she can bounce back and forth between the solutions, or she will need to
continue along the lines suggested by Scott and post everything for a complete
logit estimator. She will need to pay particular attention to the predictor
posted in e(predict) which I believe should be the one from -svy: logit- ,
"svy_logit_p", though I admit that I have not thoroughly considered that. I
would probably bounce back and forth.
Note, that it makes me a bit queasy discussing how to make something that is
clearly not the estimator for a command pretend that it is the estimator. For
these tricks, caveat emptor.
-- Vince
[email protected]
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