<>
If John wishes to return coefficients and associated statistics after
estimation for a simulation he might want employ an eclass program.
This way, he can easily access coefficients and standard errors, and
calculate t-statistics and p-values afterwards. Here is an example:
*******************
program myprobit, eclass
...
probit y x1 x2
end
simulate _b _se , reps(1000) seed(123) saving(myprobit, replace
every(50)) : myprobit
use myprobit
foreach v in x1 x2 {
gen t_`v' = y_b_`v'/y_se_`v'
gen p_`v' = 2*(1-normal(abs(t_`v'))
}
**********************
Hope this helps,
Eva
2009/5/9 John Antonakis <[email protected]>:
I am running an rclass program that I wish to simulate.
After estimating a probit, I want to save the coefficients, along with the
t-stats and the p-values for later simulation. I figured out the former but
not the latter two. What I have so far is:
probit y x1 x2
return scalar b1 =_b[x1]
return scalar b2 =_b[x2]
Thanks,
John.
--
____________________________________________________
Prof. John Antonakis
Associate Dean Faculty of Business and Economics
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
Faculty page:
http://www.hec.unil.ch/people/jantonakis&cl=en
Personal page:
http://www.hec.unil.ch/jantonakis
____________________________________________________
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