Re: st: Re: Returning a p-value for simulation

[John Antonakis <john.antonakis@unil.ch>]

Great.  Thanks Martin.
Best,
J.

____________________________________________________

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:
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Personal page:
http://www.hec.unil.ch/jantonakis
____________________________________________________



On 10.05.2009 10:38, Martin Weiss wrote:
> Here is an example of what I suspect you want. The variation in the 
> -probit-s comes from a (somewhat pointless) -if- qualifier, but I am 
> sure you will tweak it to your needs. The output is 100 p-values for 
> the covariate "trunk"
>
> ***
>
> //drop it beforehand
> capt prog drop sim
>
> //define the program
> program define sim // , rclass
>    version 10.1
>  sysuse auto, clear
>  prob for rep tu tr if runiform()<0.7
> end
>
> //simulate it!
> //get the p-value for "trunk" in this case, but you can
> //add more covariates to this
> simulate (2*normal(-abs(_b[trunk]/_se[trunk]))) ///
> , reps(100): sim //, obs(100)
>
> su,d
> ***
>
> HTH
> Martin
> _______________
> ----- Original Message ----- From: "John Antonakis" 
> <john.antonakis@unil.ch>
> To: <statalist@hsphsun2.harvard.edu>
> Sent: Sunday, May 10, 2009 10:26 AM
> Subject: Re: st: Re: Returning a p-value for simulation
>
>
> > Hi Martin:
> >
> > Thanks; parmtest works nice.
> >
> > Once done, I added the following:
> >
> > simulate _b _se, reps(20) seed (123) : sim,
> > [I have a program, "sim" running before, where I manipulate certain 
> > parameters]
> >
> > How do I get it to simulate the p-value?
> >
> > Best,
> > J.
> >
> > ____________________________________________________
> >
> > 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
> > ____________________________________________________
> >
> >
> >
> > On 10.05.2009 09:38, Martin Weiss wrote:
> > > The easiest option for John to achieve his goal is to install -ssc 
> > > inst parmest- by Roger Newson and then:
> > >
> > > ******************
> > > sysuse auto, clear
> > > prob for price weight trunk
> > > parmest,saving(myfile, replace)
> > > u myfile, clear
> > > l
> > > ******************
> > >
> > > If he wants to dig deeper into the calculation of the results, he 
> > > can replicate them in -mata-:
> > >
> > > ******************
> > > sysuse auto, clear
> > > prob for price weight trunk
> > > //for z-statistic reporting commands
> > > mata
> > > // suck stuff into mata
> > > b = st_matrix("e(b)")'
> > > V = st_matrix("e(V)")
> > > //standard errors from varcov
> > > se = diagonal(cholesky(diag(V)))
> > >   z = b :/ se
> > > //show z
> > > z
> > > //p-values
> > >  2*normal(-abs(z))
> > > // CIs
> > >   b :- invnormal(0.975):*se, b :+ invnormal(0.975):*se
> > > end
> > > *********************
> > >
> > >
> > > HTH
> > > Martin
> > > _______________
> > >
> > >
> > >
> > > ----- Original Message ----- From: "John Antonakis" 
> > > <john.antonakis@unil.ch>
> > > To: <statalist@hsphsun2.harvard.edu>
> > > Sent: Sunday, May 10, 2009 12:19 AM
> > > Subject: st: Returning a p-value for simulation
> > >
> > >
> > > > 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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