Re: st: standard error of prediction (with weights)

[Steven Samuels <sjhsamuels@earthlink.net>]

> On Sep 16, 2008, at 6:01 AM, Hans Olav Melberg wrote:
> > When using the following:
> >
> > logit c6 $x6 [pweight=w2all], or
> > mfx compute, at(gateway=0)
> >
> > I get:
> > Marginal effects after logit
> >       y  = Pr(c6) (predict)
> >          =  .00067379
> > etc
> >
> > How do I find standard error of the predicted value?
> >
> > The predicted value (y = 0.00067) is calculated using weights as well
> > as at the mean of the variables, except for one variable which is 0.
> > I found some commands that might be useful, but they did not  
> > accept weights.
The code below is shorter than the previous version. Hans didn't say  
he had survey data.  If not, then he can skip -svyset- and the -svy-  
prefixes and just add [pweight] statements to the -mean- and -logit-  
commands.  He asked for the standard error of prediction, but - 
adjust- creates standard errors for the linear predictor and  
translate the resulting CI to the probability scale. I think this is  
the proper approach.  My mail program adds invisible spaces to the  
text; be sure to zap gremlins before running this code.

Aside: Observe that

sysuse auto
logit foreign mpg weight trunk
adjust   //hold all predictors at their means

produces a predicted probability 0f 0.159.  The average prediction,  
also the sample proportion, is 0.297.  Thus setting covariates to  
their means can give a very misleading result

-Steve

*****************Code begins *****************

// Program to created adjusted prediction and CI for weighted data,
// holding one variable at a specified value and the others at their  
weighted means
//
// For the auto data, the command will be: svy: logit foreign rep78  
mpg weight trunk
// -adjust- will be called to predict the probability for rep78=3 and  
other predictors  held at their means

sysuse auto,clear
svyset _n [pweight=length]
local  rhs mpg weight trunk    // variables to be held at their  
means ///

// Create weighted means: saved in _b[varname]
quietly svy: mean `rhs'

/// build up the -adjust- command
local l_adj " "
foreach v of varlist `rhs' {
local lv "`v' =  `=_b[`v']'  "
local l_adj `l_adj' `lv'
}

svy: logit foreign `rhs' rep78

// Call -adjust-
adjust "`l_adj'" rep78=3, pr ci

**************Code Ends**********************

>
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