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Re: st: Standard error of the forecast and multivariate regression


From   Nick Cox <njcoxstata@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Standard error of the forecast and multivariate regression
Date   Tue, 29 Oct 2013 17:00:41 +0000

The se of the forecast would presumably be matrix-valued with a
multivariate response, as a variance-covariance matrix, not that that
itself prevents a calculation.


Nick
njcoxstata@gmail.com


On 29 October 2013 16:52,  <Gillian.Frost@hsl.gsi.gov.uk> wrote:
> Hello all,
>
> This is probably a statistical question, but I wondered if anyone could
> help me.
>
> I was wondering if anyone could provide me with a reason why it is not
> possible to generate the standard error of the forecast using -predict
> newvar, stdf- after multivariate regression using -mvreg- ?
> I read somewhere in the help files (although I can't see where now) that
> the -stdf- option can only be used for a regression where the score can be
> calculated using -predict newvar, score-.  Now -mvreg- doesn't allow the
> score option of -predict-, which I'm guessing is why stdf cannot be
> specified.  However this doesn't really explain why the score option is
> not valid for multivariate regression.  Can anyone help?
>
> Is this specific to Stata, or would this be the same in whichever
> statistical package you were using?  I'm just wondering if I could turn to
> R or some other programme.
>
> I'd be grateful for any insights.
>
> Many thanks,
>
> Gillian
>
>
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