Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Antw: st: RE: The command "gentrun"


From   "Alexander Kalb" <[email protected]>
To   <[email protected]>
Subject   Antw: st: RE: The command "gentrun"
Date   Fri, 19 Sep 2008 16:17:58 +0200

Thank you for help, Martin, but it should indeed be the same truncation
point...

>>> "Martin Weiss" <[email protected]> 18.09.2008 17:53 >>>
First of all, -gentrun- takes us all the way back to -version- 6 --
which need not be a bad thing, but shows that the author has not
released a new version since 1999. As far as I can tell, he is not
active on the list, either.

On the question, with a truncation from either left or right, the mean
of the sample will never be zero, and the standard deviation will be
smaller than 1 due to the truncation of at least one of the tails.  I
would be tempted to use -egen, std()- after the creation of the
truncated normal to achieve the desired outcome, but then the truncation
points will be shifted, which is probably not what you want...


***********
clear*
set obs 10000
cap ssc inst gentrun
gentrun mynewvar, l(-1)
su
egen float mystdvar = std(mynewvar), mean(0) std(1.5)
su
*********** 


HTH
Martin


-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Alexander
Kalb
Sent: Thursday, September 18, 2008 5:34 PM
To: [email protected] 
Subject: st: The command "gentrun"

I am using the command "gentrun" to generate random draws form a
truncated standard normal distribution. The command uses the program
"gentrun.ado":

program define gentrun
   tempvar tem1
   tempname mltrn mrtrn
   if "`left'" != "" & "`right'" != "" {
      if `left' >= `right' {
         di in red /*
    */ "The left truncation point cannot be >= the right truncation
point."
         exit 198
      }
   }
     if "`left'" == ""{
         scalar `mltrn' = 0
     }
     else {
         scalar `mltrn' = normprob(`left')
     }
     if "`right'" == ""{
         scalar `mrtrn' = 1
     }
     else {
         scalar `mrtrn' = normprob(`right')
     }
    tokenize `varlist'
    while "`1'" ~= ""{
        quie gen double `tem1' = (`mrtrn'-`mltrn')*uniform() + `mltrn'
`if' `in'
        quie gen `typlist' `1' = invnorm(`tem1') `if' `in'
        drop `tem1'
        mac shift
    }
end

Now, I have the following question: if I would like to have a random
draw from a truncated normal distribution with zero mean and standard
deviation 1.5 do I just have to replace the line "quie gen `typlist'
`1'
= invnorm(`tem1') `if' `in'" of the .ado-file with "quie gen `typlist'
`1' = invnorm(`tem1')*1.5 `if' `in'"?

Zentrum für Europäische Wirtschaftsforschung GmbH (ZEW) 
Centre for European Economic Research 
L 7, 1 · 68161 Mannheim · Germany 
Sitz der Gesellschaft: Mannheim · Amtsgericht Mannheim HRB 6554 
Aufsichtsratsvorsitzender: Gerhard Stratthaus MdL, Finanzminister a.D.

Geschaeftsfuehrer: Prof. Dr. Dr. h.c. mult. Wolfgang Franz, Thomas
Kohl
------------------------------------------------------------------------
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search 
*   http://www.stata.com/support/statalist/faq 
*   http://www.ats.ucla.edu/stat/stata/ 


*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search 
*   http://www.stata.com/support/statalist/faq 
*   http://www.ats.ucla.edu/stat/stata/

Zentrum für Europäische Wirtschaftsforschung GmbH (ZEW) 
Centre for European Economic Research 
L 7, 1 · 68161 Mannheim · Germany 
Sitz der Gesellschaft: Mannheim · Amtsgericht Mannheim HRB 6554 
Aufsichtsratsvorsitzender: Gerhard Stratthaus MdL, Finanzminister a.D. 
Geschaeftsfuehrer: Prof. Dr. Dr. h.c. mult. Wolfgang Franz, Thomas Kohl
------------------------------------------------------------------------
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index