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Re: st: logistic tranformation, proportion variables
.
Nick Cox has a little Stata help file on transformations.
ssc install transint
-Dave
On Dec 12, 2007, at 9:06 PM, Marck Bulter wrote:
Dear Statalisters,
I have a question that is not entirely related to Stata. Do hope
that you forgive me.
Assume the following model,
*ivreg* pstrmon price maturity age coupon pstrmonprev pstrprev
intrest ivol compl (precmon = precmonprev)
Where pstrmon, pstrmonprev, precmon and precmonprev are all
proportions. In this case, value bond A / total value bonds, etc.
Therefore, it can take any value between 0 and 1, 0 and 1 included.
These last 4 variables are heavily left skewed. Post estimations,
resid is heteroskedastic, and resid is not normal distributed.
On the Statalist server I have found several references to logistic
transformations, ln(y/1-y):
- http://www.stata.com/statalist/archive/2003-07/msg00285.html
- home.fsw.vu.nl/m.buis/presentations/UKsug06.pdf
- http://www.stata.com/statalist/archive/2006-02/msg00150.html
If I transform the 4 variables using logistic transformation, the 4
variables or no longer skewed, resid is almost homoskedastic, and
resid is almost normal distributed.
But my question is, is this transformation allowed, as I have mostly
seen only references of transformation of the dependent variable.
In addition, the transformation makes the interpretation of the
coefficients hard, any comment on this?
Kind regards,
Marck Bulter
A passionate Stata user.
*
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--
David C. Airey, Ph.D.
Pharmacology Research Assistant Professor
Center for Human Genetics Research Member
Department of Pharmacology
School of Medicine
Vanderbilt University
Rm 8158A Bldg MR3
465 21st Avenue South
Nashville, TN 37232-8548
TEL (615) 936-1510
FAX (615) 936-3747
EMAIL [email protected]
URL http://people.vanderbilt.edu/~david.c.airey/dca_cv.pdf
URL http://www.vanderbilt.edu/pharmacology
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