Re: st: Re: orthogonal estimation

[Marcello Pagano <pagano@hsph.harvard.edu>]

If you wish to pursue this line of thinking outside the confines of 
Stata software, what you call "orthogonal regression" was studied by 
R.J. Adcock (1877,1878) and C.H. Kummell (1879) and Pearson (1901) under 
the label of  what became known as "errors-in-variables" regression. 
Your perpendicular distance would presumably be considered when the 
errors in the dependent variable and independent variable have the same 
variance.

Adcock, R.J. (1877). Note on the method of least  squares.  Analyst 4 , 
183-184.

Adcock, R.J. (1878). A problem in least squares. Analyst 5 , 53-54.

Kummell, C.H. (1879). Reduction of observed equations which contain more 
than one observed quantity.  Analyst, 6, 97-105.

Pearson, K. (1901). On lines and planes of closest fit to systems of 
points in space.  Philosophical Magazine, 2, 559-572.

m.p.

Kit Baum wrote:

> Alvaro asks
>
> Is there any program in STATA to perform orthogonal regressions? That
> is, those which minimize the perpendicular distance between the
> observations and the fitted line?
>
>
> What you describe is known as limited-information maximum likelihood 
> (LIML) regression. One of its features is that it is invariant to the 
> choice of 'dependent variable'. OLS y on x minimizes residuals in y 
> units; x on y minimizes residuals in x units. LIML y on x minimizes 
> residuals perpendicular to the fitted line.
>
> ssc describe ivreg2
>
>
> Kit Baum, Boston College Economics
> http://ideas.repec.org/e/pba1.html
> An Introduction to Modern Econometrics Using Stata:
> http://www.stata-press.com/books/imeus.html
>
>
> On Dec 12, 2006, at 2:33 AM, statalist-digest wrote:
>
>
> > I have a set of observations, and for each observation I have  one
> > event date and n visit dates. How would I go about to get the date for
> > the last visit that occured before my event?
> > I'm guessing to use something like egen lastvisitdate=
> > rmin(eventdate-visitdate*), bu a) I'm not allowed to do that, and b) I
> > don't know how to only return positive values.
> *
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