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From |
Steven Samuels <[email protected]> |

To |
[email protected] |

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

Date |
Tue, 16 Sep 2008 12:59:07 -0400 |

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.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.

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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**References**:**st: standard error of prediction (with weights)***From:*"Hans Olav Melberg" <[email protected]>

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