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From |
Steve Samuels <sjsamuels@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: AW: confidence interval of a ratio of coefficients |

Date |
Fri, 9 Apr 2010 10:36:41 -0400 |

Actually, I got the order of the variables in -wtp- confused. The denominator variable is the first one in the variable list: So: sysuse auto, clear set seed 2940688 logit foreign price weight rep78 nlcom - _b[weight]/_b[price] //ratio logit foreign price weight rep78 wtp price weight, delta wtp price weight, fieller wtp price weight, krinsky reps(20000) bootstrap ratio = (-_b[weight]/_b[price]), rep(500): logit foreign price weight rep78 estat bootstrap, bc *********************************************************** >> >> >> On Fri, Apr 9, 2010 at 8:56 AM, Arne Risa Hole <arnehole@gmail.com> wrote: >>> Steve, Martin and Shehzad, >>> >>> I've written the -wtp- module (available from SSC) with this >>> particular problem in mind. It calculates CIs for the ratio of two >>> coefficients using either the delta method, Fieller's method or the >>> parametric bootstrap. I've done some simulations to investigate which >>> method is more accurate, they are reported in the paper referenced in >>> the -wtp- help file. >>> >>> Arne >>> >>> On 9 April 2010 13:14, Steve Samuels <sjsamuels@gmail.com> wrote: >>>> The following paper >>>> (http://mrvar.fdv.uni-lj.si/pub/mz/mz1.1/cedilnik.pdf) shows that the >>>> distribution of the ratio of two jointly-Normal variables is far from >>>> simple. This suggests to me that a bootstrap may be the best approach >>>> to the CI that Shehzad originally asked for. >>>> >>>> Steve >>>> >>>> On Thu, Apr 8, 2010 at 5:29 PM, Steve Samuels <sjsamuels@gmail.com> wrote: >>>>> Martin, >>>>> >>>>> I have to withdraw that code. It gives incorrect results if the ratio >>>>> is negative. So, your original -nlcom- statement is Shehzad's best >>>>> approach. Note, however that the confidence intervals for the ratio >>>>> and for 1/ratio are not compatible (perhaps "consonant" is the better >>>>> word). One set of limits cannot be derived by inverting the endpoints >>>>> of the other set. >>>>> >>>>> Steve >>>>> >>>>> >>>>> ******************** >>>>> sysuse auto, clear >>>>> logit foreign rep78 price weight >>>>> >>>>> nlcom _b[price]/_b[weight] //ratio >>>>> nlcom _b[weight]/_b[price] // 1/ratio >>>>> *********************** >>>>> >>>>> >>>>> >>>>> >>>>> On Thu, Apr 8, 2010 at 3:52 PM, Martin Weiss <martin.weiss1@gmx.de> wrote: >>>>>> >>>>>> <> >>>>>> >>>>>> Steve, >>>>>> >>>>>> are you following your own script with this code, or is it necessary for >>>>>> Shehzad to obtain a correct answer? >>>>>> >>>>>> HTH >>>>>> Martin >>>>>> >>>>>> >>>>>> -----Original Message----- >>>>>> From: owner-statalist@hsphsun2.harvard.edu >>>>>> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Steve Samuels >>>>>> Sent: Donnerstag, 8. April 2010 21:40 >>>>>> To: statalist@hsphsun2.harvard.edu >>>>>> Subject: Re: st: AW: confidence interval of a ratio of coefficients >>>>>> >>>>>> Here are some details. It's necessary to operate on the log of the >>>>>> absolute value of the ratio and attach the sign afterwards: >>>>>> >>>>>> ************* >>>>>> sysuse auto, clear >>>>>> logit foreign rep78 price weight >>>>>> local sgn = sign(_b[price]/_b[weight]) >>>>>> >>>>>> nlcom _b[price]/_b[weight] //ratio >>>>>> nlcom log(abs( _b[price]/_b[weight])) //log ratio >>>>>> return list >>>>>> local lratio = el(r(b),1,1) >>>>>> local ratio = `sgn'*exp(`lratio') >>>>>> local bound = invnormal(1-.05/2)*sqrt(el(r(V),1,1)) >>>>>> local llim = exp(`lratio' -`bound') >>>>>> local ulim = exp(`lratio' + `bound') >>>>>> di "ratio = " `ratio' " llimit = " `llim' " ulimit = " `ulim' >>>>>> ************* >>>>>> >>>>>> >>>>>> On Wed, Apr 7, 2010 at 1:21 PM, Steve Samuels <sjsamuels@gmail.com> wrote: >>>>>>> Martin is right, but I think that this calculation is better done on >>>>>>> the log of the ratio and then converted back to the ratio scale. In >>>>>>> that way, the CIs for x/y and y/x will be compatible. >>>>>>> >>>>>>> Steve >>>>>>> >>>>>>> On Wed, Apr 7, 2010 at 11:53 AM, Martin Weiss <martin.weiss1@gmx.de> >>>>>> wrote: >>>>>>>> >>>>>>>> <> >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> ************* >>>>>>>> sysuse auto, clear >>>>>>>> logit foreign rep78 price weight >>>>>>>> nlcom (ratio: _b[price]/_b[weight]) >>>>>>>> ************* >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> HTH >>>>>>>> Martin >>>>>>>> >>>>>>>> >>>>>>>> -----Ursprüngliche Nachricht----- >>>>>>>> Von: owner-statalist@hsphsun2.harvard.edu >>>>>> [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Shehzad Ali >>>>>>>> Gesendet: Mittwoch, 7. April 2010 17:50 >>>>>>>> An: Stata List >>>>>>>> Betreff: st: confidence interval of a ratio of coefficients >>>>>>>> >>>>>>>> Dear listers, >>>>>>>> >>>>>>>> I am modelling choice behaviour using a logit model. I want to calculate >>>>>> the marginal rates of subsititution of the attributes of choice alternatives >>>>>> by taking the ratio of coefficients (similar to what people do when >>>>>> calculating willingness to pay estimates by taking attribute/cost >>>>>> coefficients). I need help with calculating the confidence interval around >>>>>> the ratio of two coefficients. >>>>>>>> >>>>>>>> Any help would be appreciated. >>>>>>>> Shehzad >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> * >>>>>>>> * 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/ >>>>>>>> >>>>>>> >>>>>>> >>>>>>> >>>>>>> -- >>>>>>> Steven Samuels >>>>>>> sjsamuels@gmail.com >>>>>>> 18 Cantine's Island >>>>>>> Saugerties NY 12477 >>>>>>> USA >>>>>>> Voice: 845-246-0774 >>>>>>> Fax: 206-202-4783 >>>>>>> >>>>>> >>>>>> >>>>>> >>>>>> -- >>>>>> Steven Samuels >>>>>> sjsamuels@gmail.com >>>>>> 18 Cantine's Island >>>>>> Saugerties NY 12477 >>>>>> USA >>>>>> Voice: 845-246-0774 >>>>>> Fax: 206-202-4783 >>>>>> >>>>>> * >>>>>> * 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/ >>>>>> >>>>> >>>>> >>>>> >>>>> -- >>>>> Steven Samuels >>>>> sjsamuels@gmail.com >>>>> 18 Cantine's Island >>>>> Saugerties NY 12477 >>>>> USA >>>>> Voice: 845-246-0774 >>>>> Fax: 206-202-4783 >>>>> >>>> >>>> >>>> >>>> -- >>>> Steven Samuels >>>> sjsamuels@gmail.com >>>> 18 Cantine's Island >>>> Saugerties NY 12477 >>>> USA >>>> Voice: 845-246-0774 >>>> Fax: 206-202-4783 >>>> >>>> * >>>> * 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/ >>> >> >> >> >> -- >> Steven Samuels >> sjsamuels@gmail.com >> 18 Cantine's Island >> Saugerties NY 12477 >> USA >> Voice: 845-246-0774 >> Fax: 206-202-4783 >> > > > > -- > Steven Samuels > sjsamuels@gmail.com > 18 Cantine's Island > Saugerties NY 12477 > USA > Voice: 845-246-0774 > Fax: 206-202-4783 > -- Steven Samuels sjsamuels@gmail.com 18 Cantine's Island Saugerties NY 12477 USA Voice: 845-246-0774 Fax: 206-202-4783 * * 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/

**References**:**st: confidence interval of a ratio of coefficients***From:*Shehzad Ali <drshehzad_ali@yahoo.com>

**Re: st: AW: confidence interval of a ratio of coefficients***From:*Steve Samuels <sjsamuels@gmail.com>

**Re: st: AW: confidence interval of a ratio of coefficients***From:*Steve Samuels <sjsamuels@gmail.com>

**Re: st: AW: confidence interval of a ratio of coefficients***From:*Steve Samuels <sjsamuels@gmail.com>

**Re: st: AW: confidence interval of a ratio of coefficients***From:*Steve Samuels <sjsamuels@gmail.com>

**Re: st: AW: confidence interval of a ratio of coefficients***From:*Arne Risa Hole <arnehole@gmail.com>

**Re: st: AW: confidence interval of a ratio of coefficients***From:*Steve Samuels <sjsamuels@gmail.com>

**Re: st: AW: confidence interval of a ratio of coefficients***From:*Steve Samuels <sjsamuels@gmail.com>

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