Thanks to Kit Baum, an -ofrtplot- program may now be downloaded from SSC.
-ofrtplot- gives a plot of observed, fitted and residuals versus a
time variable. It is designed for time series models and by default the
covariate is whatever has been -tsset- as the time variable. However,
other variables may be specified, whether or not data have been -tsset-.
Observed values are for the response or dependent variable from the last
model, fitted values are whatever -predict- produces by default and
residuals are whatever -predict, res- produces. The plot is restricted to
the estimation sample.
By default, the plot has two panels. In the top panel, observed and fitted
are plotted against the covariate. In the bottom panel, residuals are
plotted
against the covariate, by default as spikes from zero.
Optionally, plots can be superimposed, not separate.
The fraction of the graph image taken up by the top panel
may be tuned. If the fraction specified is 1, the bottom panel is
suppressed, while if it is 0, the top panel is suppressed.
Denis de Crombrugghe of Universiteit Maastricht suggested this
program at the Maastricht Stata users meeting after I talked on
a suite of programs which provide diagnostic graphics after
fitting one model (and before fitting the next). The
slides from the talk (also given at the London meeting)
are accessible from
http://ideas.uqam.ca/ideas/data/Papers/bocusug023.html
Kit Baum also made several useful suggestions about
this program.
If interested, install in an up-to-date Stata by
ssc inst ofrtplot
Nick
[email protected]
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* http://www.ats.ucla.edu/stat/stata/
