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Re: st: logistic tranformation, proportion variables


From   David Airey <david.airey@Vanderbilt.Edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: logistic tranformation, proportion variables
Date   Wed, 12 Dec 2007 21:12:15 -0600

.

Nick Cox has a little Stata help file on transformations.

ssc install transint

-Dave

On Dec 12, 2007, at 9:06 PM, Marck Bulter wrote:

Dear Statalisters,

I have a question that is not entirely related to Stata. Do hope that you forgive me.

Assume the following model,

*ivreg* pstrmon price maturity age coupon pstrmonprev pstrprev intrest ivol compl (precmon = precmonprev)

Where pstrmon, pstrmonprev, precmon and precmonprev are all proportions. In this case, value bond A / total value bonds, etc. Therefore, it can take any value between 0 and 1, 0 and 1 included.
These last 4 variables are heavily left skewed. Post estimations, resid is heteroskedastic, and resid is not normal distributed.
On the Statalist server I have found several references to logistic transformations, ln(y/1-y):
- http://www.stata.com/statalist/archive/2003-07/msg00285.html
- home.fsw.vu.nl/m.buis/presentations/UKsug06.pdf
- http://www.stata.com/statalist/archive/2006-02/msg00150.html

If I transform the 4 variables using logistic transformation, the 4 variables or no longer skewed, resid is almost homoskedastic, and resid is almost normal distributed.
But my question is, is this transformation allowed, as I have mostly seen only references of transformation of the dependent variable.
In addition, the transformation makes the interpretation of the coefficients hard, any comment on this?


Kind regards,
Marck Bulter

A passionate Stata user.

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--
David C. Airey, Ph.D.
Pharmacology Research Assistant Professor
Center for Human Genetics Research Member

Department of Pharmacology
School of Medicine
Vanderbilt University
Rm 8158A Bldg MR3
465 21st Avenue South
Nashville, TN 37232-8548

TEL   (615) 936-1510
FAX   (615) 936-3747
EMAIL david.airey@vanderbilt.edu
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URL   http://www.vanderbilt.edu/pharmacology


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