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

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: nl hockey estimation |

Date |
Fri, 10 Aug 2012 13:18:22 -0400 |

Quite right, Nick. I was confused by the "y" on the RHS of your y2 equation. I meant to write gen y = cond(x<50, x, 100 -x) which _is_ a segmented line. I'd just note that your y2 is perhaps easier to understand as: gen y2 = cond(x<50, x, 3*x-100) Al, I gave the earliest reference I knew to the "hockey stick" terminology problem in: http://www.stata.com/statalist/archive/2010-04/msg01712.html nlhockey.ado is part of the loghockey package. One can see this and others that Mark Lunt has written by typing: "net from http://personalpages.manchester.ac.uk/staff/mark.lunt/"; Steve sjsamuels@gmail.com On Aug 10, 2012, at 10:49 AM, Nick Cox wrote: No; on this occasion I meant what I wrote. What you suggest shows another discontinuity. Nick On Fri, Aug 10, 2012 at 3:42 PM, Steve Samuels <sjsamuels@gmail.com> wrote: > > Nick, I think you meant: > > gen y2 = cond(x <50, y, 100 - y) > > Steve > sjsamuels@gmail.com > > On Aug 9, 2012, at 9:09 PM, Nick Cox wrote: > > The word "clearly" here is questionable. Your test data show a big > discontinuity; they aren't a segmented line which is what the model is > looking for. The least squares criterion is being used and -nl- does > the best it can to minimise the sum of _squared_ errors. The built-in > aversion to very large errors is what is biting here. > > If you work instead with > > gen y2 = cond(x < 50, y, y - 100) > nl hockey y2 x > > you will get what you expect. > > On this evidence the program is fine, but your test example won't work > as you expect under LS. At a wild guess, L1-norm might give something > nearer splitting the difference. > > Nick > > On Fri, Aug 10, 2012 at 12:34 AM, Jordan Silberman > <silberman.stata@gmail.com> wrote: > >> I'm attempting to identify a breakpoint in a regression using the -nl >> hockey- command (described here: >> http://personalpages.manchester.ac.uk/staff/mark.lunt/nlhockey.hlp). >> >> When I test this command using simple simulated data, I find that the >> command doesn't identify the correct breakpoint. Here's an example: >> >> set obs 100 >> gen x = _n >> gen y = x if x < 50 >> replace y = x*3 if x > 49 >> nl hockey y x >> >> The breakpoint should clearly be at 50; however, command output >> identifies the breakpoint at 32.7. >> >> So, 2 questions: >> >> 1. Why might the -nl hockey- command be computing the wrong breakpoint? >> >> 2. Can anyone recommend an alternate approach to identifying the >> breakpoint in a 2-piece regression? Best would be something that's >> been implemented in Stata in a straightforward way. > * > * 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/ * * 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/

**Follow-Ups**:**Re: st: nl hockey estimation***From:*Nick Cox <njcoxstata@gmail.com>

**References**:**st: nl hockey estimation***From:*Jordan Silberman <silberman.stata@gmail.com>

**Re: st: nl hockey estimation***From:*Nick Cox <njcoxstata@gmail.com>

**Re: st: nl hockey estimation***From:*Steve Samuels <sjsamuels@gmail.com>

**Re: st: nl hockey estimation***From:*Nick Cox <njcoxstata@gmail.com>

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