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From |
Maarten Buis <[email protected]> |

To |
[email protected] |

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

Date |
Tue, 16 Oct 2012 09:52:24 +0200 |

On Mon, Oct 15, 2012 at 6:56 PM, Seed, Paul wrote: > I might add that I generally work on the raw data, not the residuals, as it is easier to > understand the qnorm plot and the transformation needed; and I'm not interested in testing the > residuals formally. The problem with that is that Ebru is working in a regression like context, and we would not expect the raw data to be normally/Poisson/Gamma/... distributed when there are explanatory variables involved. The marginal distribution of the dependent/explained/left-hand-side/y-variable can deviate considerably from the distribution that gives your regression model its name. This is what I wrote the -margdistfit- package for. To borrow an example from my talk at the 2012 German Stata Users' meeting (<http://www.maartenbuis.nl/presentations/berlin12.html>): *------------------------- begin example --------------------------- // create random data made for a linear regression set seed 12345 clear all set obs 1000 gen x = _n < 250 gen y = 0 + 3*x + rnormal() // show that y is not normally distributed qnorm y, name(qnorm, replace) // A more fancy version of the previous graph // requires -qenv- (SSC) and -qplot- (SJ) qenvnormal y, gen(lb ub) reps(1000) sum y local l = `r(mean)' + `r(sd)' * invnormal(( 1 - .5)/`r(N)') local u = `r(mean)' + `r(sd)' * invnormal((`r(N)' - .5)/`r(N)') qplot y lb ub, ms(oh none ..) c(. l l) lc(gs10 ..) legend(off) /// ytitle("y") trscale(`r(mean)' + `r(sd)' * invnormal(@)) /// xtitle(Normal quantiles) ylab(-6(2)8) xlab(-6(2)8) /// aspect(1) name(gauss, replace) /// addplot(function y = x, range(`l' `u') /// lpattern(solid) lc(gs10)) // show that the distribution of y corresponds with // the marginal distribution implied by -regress- // requires -margdistfit- (SSC) reg y x margdistfit , qq name(marg, replace) *-------------------------- end example ---------------------------- (For more on examples I sent to the Statalist see: http://www.maartenbuis.nl/example_faq ) Hope this works, 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/

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