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st: Random permutation test for rank-dependence

From   Tobias Morville <>
Subject   st: Random permutation test for rank-dependence
Date   Mon, 28 Jan 2013 18:23:19 +0100

Hi everyone,

i have a question regarding random permutation testing in stata.

I need to test for rank-dependence and sign-dependence, over several
variables within each subject, and across subjects. Doing that i have
two basic questions. But first, this is the (simplified) model I'm

 Model: -xtprobit dummy var1 var2 var3 var1*var2 var1*var3, re-

And I'm doing this for 18 different subjects, that each have ~250
observations. They are all stacked onto each other, in one dataset.

Q1: How on gods green earth, do i add parameter coefficients as new
variables? I've googled this, and stumbled upon -estimates- module and
-statsby-. But none of them really satisfy my needs.

What i really want, is a new variable (in a column) where parameter
estimates are continuously reported to. Lets say subject_1 has 250
trials, then I want 250 values of b1 - which i assume is the parameter
coefficient of var1 - to be my new variable. And so forth with all the
other subjects, resulting in my new b1-parameter-value-variable having
18*~250 observations.

I've done, -Estimates store- just produces b1 b2 b3 b4 b5, a "group
level" coefficient for each of the variables (and interaction terms),
which is not really satisfying for my need when wanting to do a random
permutation test.

Q2: For the random permutation test, stata has two non-parametric
choices. -Ranksum- and -Median-, where the first only allows testing
between two groups and the latter is an equility-of-median test, which
is not really useful for me.

Basically i would like to do a -ranksum- test, but between all 18
subjects, which ranksum does not allow. Is there any alternative way
of doing this?


I have a variable that is randomly distributed (it's a die) and i want
to see if the number of eyes on that die affects how people gamble.
When i include it as a simple regressor, it shows up significant. But
not knowing if that (not logical - a rational agent should know its
random) weigh on the die, is the same across subjects, and within each
subject. Basically, i want to be able to say something about "how
much" the die weights for different subjects, but because its
non-linear, i can't compare a coefficient value of 2 to 4, and say its
the double effect. Neither can i say that subject 1's coefficient of
5, is a lower effect of subject 2's coefficient of 7. And i need to
find out, if i can at least, say something about the rank of the
coefficient estimates.

Hope you can help me out as I'm rather lost!

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