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From |
"Weichle, Thomas" <Thomas.Weichle@va.gov> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: Two-Part Modeling: Using -margins- command to calculate predicted cost and confidence intervals |

Date |
Wed, 31 Oct 2012 15:29:24 -0500 |

Hi Statalisters, I'd like to describe the processes I'm doing using Stata to try to estimate a confidence interval around the predicted value of cost for some particular set of independent variables. My main concern is if it makes sense conceptually. The Stata command -margins- appears to allow me to compute the predicted cost in a two-part model with confidence intervals. The following are my steps: Predicted cost in two-part model (predicted value of Y): E(Y|X) = P(Y>0|X)*E(Y|Y>0, X) where P(Y>0|X) is the probability of any cost being incurred (Part 1) and E(Y|Y>0, X) is the predicted cost conditional on incurring any cost (Part 2) Part 1 Stata calculation: ** Create indicator for whether or not individual incurred cost ** generate nonzero_cost = 0 replace nonzero_cost = 1 if cost != 0 ** P(Y>0|X) ** logistic nonzero_cost i.exposure_var independent_var1 independent_var2 independent_var3 predict phat if e(sample), pr Part 2 Stata calculation: ** E(Y|Y>0, X) ** glm cost i.exposure_var independent_var1 independent_var2 independent_var3 if cost > 0, family(gamma) link(log) eform nolog predict mu if e(sample), mu Predicted cost in two-part model Stata calculation (combining Parts 1 & 2): ** E(Y|X) = P(Y>0|X)*E(Y|Y>0, X) ** margins, dydx(exposure_var) expression(phat*predict(mu)) post My question is the following: Conceptually, is it an accurate approach to use the -margins- command to calculate the predicted cost and confidence interval around the predicted cost? Another concern of mine is whether the calculation of the standard errors is reasonable. Margins uses the delta-method for calculation of standard errors. Tom Weichle Math Statistician VA Information Resource Center (VIReC) Edward Hines Jr. VA Hospital, Bldg 18, 202E 708-202-8387 ext. 24261 Thomas.Weichle@va.gov * * 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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