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From |
Maarten Buis <maartenlbuis@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Normally distributed error term & testing normality of residuals |

Date |
Mon, 15 Oct 2012 10:33:14 +0200 |

--- On Sun, Oct 14, 2012 at 9:54 AM, Ebru Ozturk <ebru_0512@hotmail.com> wrote: >> Thank you. So, there is no possibility to check heteroscedasticity graphically? --- On Sun, Oct 14, 2012 at 1:53 PM, Nick Cox <njcoxstata@gmail.com> wrote: > No one said that. You can plot the residuals, or their squares, or > their absolute values, or roots of absolute values -- there are > arguments for each -- against anything of interest, e.g. a predictor > or fitted values. The challenge with a model like Tobit is to know what kind of patter in such a graph represents a problem, as you would expect the raw residuals to be heteroskedastic in a Tobit model. One solution that has been mentioned several times in this thread is to simulate from the model to see what is "normal". An example is given below: *--------------- begin example ---------------- // prepare data sysuse auto, clear gen wgt = weight/2000 label var wgt "weight in short tons" replace mpg = 17 if mpg <= 17 // estimate Tobit model tobit mpg wgt, ll // To make the graphing and simulation easier I // am going to change the data radically, so I // first preserve the data preserve // only plot those observatin used in the model keep if e(sample) // I want 6 simulations, identified by the // variable samp gen id = _n expand 6 bys id : gen samp = _n // simulate outcome from the model predict xb, xb set seed 123456 gen sim = xb + rnormal(0, [sigma]_b[_cons]) replace sim = 17 if sim <= 17 // predict resiudals for both the observed // data and the simulations predict yhat, ystar(17,.) replace sim = yhat - sim gen resid = yhat - mpg // plot the results scatter sim resid wgt, by(samp) /// msymbol(Oh o) msize(medium small) /// mcolor(gs8 black) restore *---------------- end example ----------------- (For more on examples I sent to the Statalist see: http://www.maartenbuis.nl/example_faq ) Hope this helps, Maarten --------------------------------- Maarten L. Buis WZB Reichpietschufer 50 10785 Berlin Germany http://www.maartenbuis.nl --------------------------------- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Normally distributed error term & testing normality of residuals***From:*Ebru Ozturk <ebru_0512@hotmail.com>

**Re: st: Normally distributed error term & testing normality of residuals***From:*Nick Cox <njcoxstata@gmail.com>

**RE: st: Normally distributed error term & testing normality of residuals***From:*Ebru Ozturk <ebru_0512@hotmail.com>

**Re: st: Normally distributed error term & testing normality of residuals***From:*"JVerkuilen (Gmail)" <jvverkuilen@gmail.com>

**RE: st: Normally distributed error term & testing normality of residuals***From:*Ebru Ozturk <ebru_0512@hotmail.com>

**Re: st: Normally distributed error term & testing normality of residuals***From:*"JVerkuilen (Gmail)" <jvverkuilen@gmail.com>

**RE: st: Normally distributed error term & testing normality of residuals***From:*Ebru Ozturk <ebru_0512@hotmail.com>

**RE: st: Normally distributed error term & testing normality of residuals***From:*Ebru Ozturk <ebru_0512@hotmail.com>

**Re: st: Normally distributed error term & testing normality of residuals***From:*"JVerkuilen (Gmail)" <jvverkuilen@gmail.com>

**RE: st: Normally distributed error term & testing normality of residuals***From:*Ebru Ozturk <ebru_0512@hotmail.com>

**Re: st: Normally distributed error term & testing normality of residuals***From:*"JVerkuilen (Gmail)" <jvverkuilen@gmail.com>

**RE: st: Normally distributed error term & testing normality of residuals***From:*Ebru Ozturk <ebru_0512@hotmail.com>

**Re: st: Normally distributed error term & testing normality of residuals***From:*"JVerkuilen (Gmail)" <jvverkuilen@gmail.com>

**RE: st: Normally distributed error term & testing normality of residuals***From:*Ebru Ozturk <ebru_0512@hotmail.com>

**Re: st: Normally distributed error term & testing normality of residuals***From:*Nick Cox <njcoxstata@gmail.com>

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